Brownian motion conditioned to exit at a boundary point

ID: brownian-motion-conditioned-to-exit-at-a-boundary-point

Killed planar Brownian motion conditioned to exit at a smooth boundary point is the Doob h-transform by its positive Poisson kernel, normalized at the starting point. Its generator is . Conditioning on shrinking boundary arcs yields the same localized laws and specifies a canonical version of an otherwise probability-zero conditioning event.

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