Soft killing limit for Brownian nonnegative survival

ID: soft-killing-limit-for-brownian-nonnegative-survival

Let be continuous, nonnegative, zero on , and strictly positive on . By continuity of Brownian paths, its occupation integral vanishes exactly on nonnegative paths. Dominated convergence gives the displayed limit. The Brownian reflection principle makes it for and zero for . In particular the limit at is zero for every positive time. The choice is a bounded soft killing potential.

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