Eigenvalue Expansions for Brownian Motion with an Application to Occupation Times

Richard F. Bass (University of Washington)
Krzysztof Burdzy (University of Washington)

Abstract


Let $B$ be a Borel subset of $R^d$ with finite volume. We give an eigenvalue expansion for the transition densities of Brownian motion killed on exiting $B$. Let $A_1$ be the time spent by Brownian motion in a closed cone with vertex $0$ until time one. We show that $\lim_{u\to 0} \log P^0(A_1 < u) /\log u = 1/\xi$ where $\xi$ is defined in terms of the first eigenvalue of the Laplacian in a compact domain. Eigenvalues of the Laplacian in open and closed sets are compared.

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Pages: 1-19

Publication Date: January 31, 1996

DOI: 10.1214/EJP.v1-3

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