Regular points for the successive primitives of Brownian motion
In the introduction, the author considers a linear Brownian motion starting at zero, which he notes as \((B(t))_{t\geq 0}\). Let \(X_n(t) ={1\over n!} \int^t_0(t-s)dB(s)\) be its \(n\)-fold primitive and \(U(t)= (B(t), X_1(t), \dots, X_n(t))\). The Gaussian process \(X_n\) was studied by \textit{L. A. Shepp} [Pac. J. Math. 17, 167-173 (1966; Zbl 0152.16102) and Ann. Math. Stat. 37, 321-354 (1966; Zbl 0142.13901)], \textit{G. Wahba} [J. R. Stat. Soc., Ser. B 40, 364-372 (1978; Zbl 0407.62048) and ibid. 45, 133-150 (1983; Zbl 0538.65006)], \textit{M. Chaleyat-Maurel} and \textit{L. Elie} [Astérisque 84/85, 255-279 (1981; Zbl 0524.60039)] and others. For the process \(U\), the author writes a Wiener test which allows to decide whether a fixed point, say zero, is regular or not for a certain set \(B\) in \(\mathbb{R}^{n+1}\). For any set \(x=(x_0, x_1, \dots, x_n) \in \mathbb{R}^{n+1}\), \(N(x) =\max | x_i |^{1/(n+1)}\), \(0\leq 1\leq n\), \(x^*= (x_0,- x_1,\;x_2, \dots, (-1)^n x_n)\), \(B_k= \{x\in B: 2^{-k-1} \leq N(x) \leq 2^{-k}\}\), \(B^* =\{x\in \mathbb{R}^{n+1}: x^* \in B\}\), \(\tau_k =\tau_{B_k}\). In Section 2 the basic properties of the process \(U\) are presented. Section 3 deals with the proof of Theorem 1.1: Let \(B\) be a Borel set in \(\mathbb{R}^{n+1}\) such that \(B^*=B\) which closure includes the origin. Then the origin is a regular point for \(B\) if and only if the series \(\sum^\infty_{k=0} P_0 (\tau_k <+\infty)\) is divergent. Section 4 gives the proofs of another two theorems. These results require some estimates about the hitting probabilities of certain classes of parallelepipeds in \(\mathbb{R}^{n+1}\). Section 5 is devoted to prove several lemmas. For other details see the author's references and \textit{P. Lévy} [``Processus stochastiques et mouvement brownien (1948; Zbl 0034.22603)], \textit{D. Freedman} [``Brownian motion and diffusion (1971; Zbl 0231.60072)], \textit{F. B. Knight} [``Essentials of Brownian motion and diffusion (1981; Zbl 0458.60002)].
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