On a Brownian motion conditioned to stay in an open set
Probability
2020-10-02 v1
Abstract
Distribution of a Brownian motion conditioned to start from the boundary of an open set and to stay in for a finite period of time is studied. Characterizations of such distributions in terms of certain singular stochastic differential equations are obtained. Results are applied to the study of boundaries of clusters in some coalescing stochastic flows on
Keywords
Cite
@article{arxiv.2010.00260,
title = {On a Brownian motion conditioned to stay in an open set},
author = {Georgii V. Riabov},
journal= {arXiv preprint arXiv:2010.00260},
year = {2020}
}