Obliquely reflected Brownian motion in nonsmooth planar domains

Krzysztof Burdzy, Zhen Qing Chen, Donald Marshall, Kavita Ramanan

Research output: Contribution to journalArticlepeer-review

5 Citations (Scopus)

Abstract

We construct obliquely reflected Brownian motions in all bounded simply connected planar domains, including nonsmooth domains, with general reflection vector fields on the boundary. Conformal mappings and excursion theory are our main technical tools. A key intermediate step, which may be of independent interest, is an alternative characterization of reflected Brownian motions in smooth bounded planar domains with a given field of angles of oblique reflection on the boundary in terms of a pair of quantities, namely an integrable positive harmonic function, which represents the stationary distribution of the process, and a real number that represents, in a suitable sense, the asymptotic rate of rotation of the process around a reference point in the domain. Furthermore, we also show that any obliquely reflected Brownian motion in a simply connected Jordan domain can be obtained as a suitable limit of obliquely reflected Brownian motions in smooth domains.

Original languageEnglish
Pages (from-to)2971-3037
Number of pages67
JournalAnnals of Probability
Volume45
Issue number5
DOIs
Publication statusPublished - 1 Sept 2017
Externally publishedYes

Keywords

  • Brownian motion with darning
  • Conformal mapping
  • Excursion reflected Brownian motion
  • Excursion reflected Brownian motion
  • Oblique reflection
  • Rate of rotation of obliquely reflected Brownian motion
  • Reflected Brownian motion
  • Simply connected domains
  • Stationary distribution

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