Periodic extensions of two-dimensional Brownian motion on the half plane. I (Q917171)

The author considers Markov processes on the upper half plane D, which behave like two-dimensional Brownian motion until they hit the x-axis and whose laws \(P_ z\) (z\(\in D\) is the starting point) are invariant under translations of length \(2\pi\) parallel to the x-axis, i.e. \[ P_{z+2\pi}(Z_ t(\omega)\in A+2\pi)=P_ z(Z_ t(\omega)\in A)\text{ for all } Borel\quad sets\quad A\text{ in } D. \] In this paper (and in the following second part) the author characterizes these processes by means of quadruples (\(\mu\),\(\sigma\),k,p), where \(\mu\) and \(\sigma\) are periodic measures on the real line satisfying certain integrability conditions and where k and p are constants. These quantities are determined by a pair of harmonic functions on D satisfying the boundary conditions (typically partial differential equations) of Z on the x-axis. In chapter one, the author shows that the problem to determine these periodic extensions is equivalent to the problem to find systems of hitting measures \[ H^ a(z,B)=P_ z(Z_{\sigma_ a}(\omega)\in B\times \{a\}), \] where \(\sigma_ a\) is the first time Z hits the horizontal line \(y=a\) (z\(\in (0,a)\), \(a>0)\), and where B is a Borel set in \({\mathbb{R}}\). Chapter two is devoted to the uniqueness of the periodic extension for a given quadrupel (\(\mu\),\(\sigma\),k,p) (the proof of existence is contained in the following paper). In chapter three, the author starts with the law P of a periodic extension of a two-dimensional Brownian motion and constructs the quadrupel \((\mu_ p,\sigma_ p,k_ p,p_ p)\). These results (for which the author provides interesting and lucid proofs) are a continuation of his work published in Proc. Int. Symp. on stochastic differential equations, Kyoto 1976, 265-281 (1978; Zbl 0421.60073).