A new approach to the Martin boundary via diffusions conditioned to hit a compact set (Q2365753)

Let \(L\) be a diffusion generator on an exterior domain. Let \(h\) be the smallest positive solution of \(Lh=0\) with boundary conditions \(h\equiv 1\) on \(\partial D\). Then the harmonic measure boundary at infinity for the \(h\)-transformed diffusion generator \(L^ h\) coincides with the Martin boundary for \(\widetilde {L}\) on \(\mathbb{R}^ d\), the formal adjoint of \(L\). Further the harmonic measure boundary at infinity for the \(\widetilde{h}\)-transformed diffusion generator \(\widetilde{L}^{\widetilde {h}}\) coincides with the Martin boundary for \(L\) on \(\mathbb{R}^ d\). The boundaries are independent of the domain. The impact of these theoretical results is shown by calculation of the boundaries for rotational invariant diffusion generators.