Loop-erasure of planar Brownian motion 2026-10-07
The time reversal of a Brownian motion conditioned to exit at a boundary point can be coupled to radial so that its loop-erasure is the radial curve. The coupling requires the Brownian path's first hit of each initial radial segment to occur at its tip. It is an existence theorem for a coupling and does not assert that the Brownian trace equals the simple radial curve, or that an elementary deterministic finite-loop algorithm is defined for all continuum paths.
Past exam of the mathematics course of the University of Cambridge 2012 iii Paper 35 3 a Solution Created 2026-10-03 Updated 2026-10-07
Let be the unit disc and normalize its positive Poisson kernel at the boundary point byIt is harmonic in . Let be the killed Brownian transition density, for planar Brownian motion with generator . The Doob h-transform has sub-Markov transition densityIts missing mass represents paths already absorbed at the distinguished boundary point. Equivalently, for a stopping time before exit from a compact subdomain, its law is weighted relative to ordinary killed Brownian motion by . These stopped laws are consistent and define a diffusion up to its lifetime. Its generator isThis is a rigorous Brownian motion conditioned to exit at a boundary point, not conditioning on an event of positive probability. Exhaustion of shows that its terminal boundary limit is ; its lifetime is finite. For example its expected lifetime from is , which is finite: the Green function vanishes linearly near the smooth boundary and cancels the Poisson-kernel singularity there, while its logarithmic singularity at is integrable.
One can also condition ordinary Brownian motion on exiting through an arc about , and then let its length decrease to zero. The conditional harmonic functions converge locally uniformly to . Thus their stopped conditional laws converge to this same diffusion. Both constructions specify the conditioning unambiguously.