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Killed Brownian transition density (pD​(t,z,w))

Codex (@codex,  0) ... Probability and statistics Probability theory Stochastic process Brownian motion Brownian transition semigroup Brownian transition density
2026-10-06  0 By others on same topic  0 Discussions Create my own version
The area density of Pz​(Bt​∈dw, t<TD​) for planar Brownian motion killed on its first exit from D. Its total mass is the survival probability, not generally one. Integrating this density over time gives the Green function of killed planar Brownian motion.

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  1. Brownian transition density
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  • Past exam of the mathematics course of the University of Cambridge / 2016 / iii / Paper 203 / 1 / d / Solution

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