Censored stable processes

Krzysztof Bogdan*, Krzysztof Burdzy, Zhen Qing Chen

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

226 Citations (Scopus)

Abstract

We present several constructions of a "censored stable process" in an open set D ⊂ Rn, i.e., a symmetric stable process which is not allowed to jump outside D, We address the question of whether the process will approach the boundary of D in a finite time - we give sharp conditions for such approach in terms of the stability index α and the "thickness" of the boundary. As a corollary, new results are obtained concerning Besov spaces on non-smooth domains, including the critical exponent case. We also study the decay rate of the corresponding harmonic functions which vanish on a part of the boundary. We derive a boundary Harnack principle in C1,1 open sets.

Original languageEnglish
Pages (from-to)89-152
Number of pages64
JournalProbability Theory and Related Fields
Volume127
Issue number1
DOIs
Publication statusPublished - Sept 2003
Externally publishedYes

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