Exit problems associated with finite reflection groups (Q2487019): Difference between revisions

The authors obtain a formula for the distribution of the first exit time of Brownian motion from a fundamental region associated with a finite reflection group. Let \(W\) be a reflection group with root system \(\Phi\) and positive system \(\Pi\) in a vector space \(V\). Suppose \(I\subset\Pi\) is consistent. Put \(W^I=\{w\in W\mid wI\subset\Pi\}\) and \({\mathcal I}=\{wI\mid w\in W^I\}\). Let \(X=(X_t, t\geq0)\) be a Markov process with \(W\)-invariant state space \(E\subset V\) and \({\mathcal P}_x\) the law of the process started at \(x\). Assume the law of \(X\) is \(W\)-invariant. Then \({\mathcal P}_x(T>1)=\sum_{A\in{\mathcal I}}\,\varepsilon_A{\mathcal P}_x(T_A>t).\)