On Some Connections between Potential Theory and Excursions of Reflecting Brownian Motion

We consider reflecting Brownian motion in a bounded domain with smooth boundary. Formulas for the moments of the excursion lengths are derived and connections between excursion theory of reflecting Brownian motion and notions from recurrent potential theory are explored.

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Bibliographic Details
Published in:Mathematische Nachrichten 1998, Vol.193 (1), p.75-91
Main Author: Lang, Reinhard
Format: Article
Language:English
Subjects:
excursions
probabilistic potential theory
Reflecting Brownian motion
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Description
Summary:We consider reflecting Brownian motion in a bounded domain with smooth boundary. Formulas for the moments of the excursion lengths are derived and connections between excursion theory of reflecting Brownian motion and notions from recurrent potential theory are explored.
ISSN:0025-584X
1522-2616
DOI:10.1002/mana.19981930108