Exit problems associated with finite reflection groups

DOI10.1007/S00440-004-0402-7MaRDI QIDQ2487019zbMATH OpenOpenAlexFDO

Authors Yan Doumerc, Neil O'Connell

Publication date 17 August 2005

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00440-004-0402-7

zbMATH Keywords

Brownian motionMarkov processPfaffianreflection group

Mathematics Subject Classification ID

Reflection and Coxeter groups (group-theoretic aspects) (20F55) Brownian motion (60J65)

Review text

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 \({\mathcal P}_x(T>1)=\sum_{A\in{\mathcal I}}\,\varepsilon_A{\mathcal P}_x(T_A>t).\)

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Cited in

(11)

• Expected reflection distance in G(r,1,n) after a fixed number of reflections
• Green functions for killed random walks in the Weyl chamber of \(\mathrm{Sp}(4)\)
• Stable Lévy processes in a cone
• Persistence of heavy-tailed sample averages: principle of infinitely many big jumps
• On the singular values of complex matrix Brownian motion with a matrix drift
• First hitting time of the boundary of a wedge of angle /4 by a radial Dunkl process
• The mean perimeter of some random plane convex sets generated by a Brownian motion
• Ordered exponential random walks
• On the exit time from a cone for random walks with drift
• Exit problems associated with affine reflection groups
• The exact asymptotic of the collision time tail distribution for independent Brownian particles with different drifts

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