What is the probability of intersecting the set of Brownian double points? (Q2460320)

From MaRDI portal
scientific article
Language Label Description Also known as
English
What is the probability of intersecting the set of Brownian double points?
scientific article

    Statements

    What is the probability of intersecting the set of Brownian double points? (English)
    0 references
    0 references
    0 references
    14 November 2007
    0 references
    Let \((\Omega,\{{\mathcal F}_t\}, \mathbf{P},\{{B}_t\})\) be a planar Brownian motion starting from the point \(\rho:=(1,0)\) and let \( {\mathcal D}:=\{x: B_r=B_s=x \;\text{for some} \;0<r<s<\tau_*\} \) where \(\tau_*:=\inf\{t:|B_t|=3\). The authors introduce first the notion of two-gauge capacity and use it to prove an estimate for \(\mathbf{P}({\mathcal D}\cap A \neq \emptyset)\) for any closed subset of the disk \(\{x:|x|\leq 1/3\}\). They also prove a polar decomposition w.r.t \(\mathcal D\), for any compact subset \(A\) not containing \(\rho\). Namely, \(A\) may be written as \(A=A_1\cup A_2\) such that (1) \(A_1\) is almost surely disjoint from \(\mathcal D\), and (2) if the hitting time \(\tau_2\) of \(A_2\) is finite, then for any \(\varepsilon>0\), with probability 1, the Brownian motion stopped at time \(\tau_2+ \varepsilon\) has a double point in \(A_2\). It follows from this that \(\mathbf{P}({\mathcal D}\cap A \neq \emptyset) =\mathbf{P}(\text{Brownian motion hits}\;A_2)\).
    0 references
    0 references
    0 references
    0 references
    0 references
    capacity
    0 references
    polar decomposition
    0 references
    multiparameter Brownian motion
    0 references
    regular point
    0 references
    0 references
    0 references