Boundary derivative is an excursion avoidance probability
ID: boundary-derivative-is-an-excursion-avoidance-probability
For a compact H-hull whose closure avoids a real boundary point , the Brownian excursion in the upper half-plane from to infinity avoids with the displayed probability. From an interior point , the corresponding Doob h-transform avoidance probability is . Letting approach the boundary and using the Schwarz reflection principle gives the derivative. In particular at every regular real boundary point away from the hull.
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