The Transition Density of Brownian Motion Killed on a Bounded Set

We study the transition density of a standard two-dimensional Brownian motion killed when hitting a bounded Borel set A. We derive the asymptotic form of the density, say \(p^A_t(\mathbf{x},\mathbf{y})\), for large times t and for \(\mathbf{x}\) and \(\mathbf{y}\) in the exterior of A valid uniformly under the constraint \(|\mathbf{x}|\vee |\mathbf{y}| =O(t)\). Within the parabolic regime \(|\mathbf{x}|\vee |\mathbf{y}| = O(\sqrt{t})\) in particular \(p^A_t(\mathbf{x},\mathbf{y})\) is shown to behave like \(4e_A(\mathbf{x})e_A(\mathbf{y}) (\lg t)^{-2} p_t(\mathbf{y}-\mathbf{x})\) for large t, where \(p_t(\mathbf{y}-\mathbf{x})\) is the transition kernel of the Brownian motion (without killing) and \(e_A\) is the Green function for the ‘exterior of A’ with a pole at infinity normalized so that \(e_A(\mathbf{x}) \sim \lg |\mathbf{x}|\). We also provide fairly accurate upper and lower bounds of \(p^A_t(\mathbf{x},\mathbf{y})\) for the case \(|\mathbf{x}|\vee |\mathbf{y}|>t\) as well as corresponding results for the higher dimensions.