Excursion Reflected Brownian Motion

Details Excursion Reflected Brownian Motion Excursion Reflected Brownian Motion

2012-04-09

arxiv.org/abs/1204.1931v1

Mathematics

Probability

arXiv admin note: substantial text overlap with arXiv:1112.4123

Scientific paper

Excursion reflected Brownian motion (ERBM) is a strong Markov process defined in a finitely connected domain $D \subset \mathbb{C}$ that behaves like a Brownian motion away from the boundary of $D$ and picks a point according to harmonic measure from infinity to reflect from every time it hits a boundary component. We give a construction of ERBM using its conformal invariance and develop the basic theory of its harmonic functions. One important reason for studying ERBM is the hope that it will be a useful tool in the study of SLE in multiply connected domains. To this end, we develop the basic theory of the Poisson kernel and Green's function for ERBM and show how it can be used to construct conformal maps into certain classes of multiply connected domains.

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