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Radial restriction for a conditioned Brownian path (P(B⊂U)=∣ΦU′​(1)∣)

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Markov process Doob h-transform Brownian motion conditioned to exit at a boundary point
2026-10-07  0 By others on same topic  0 Discussions Create my own version
For a Brownian path in the unit disc from 0 conditioned to exit at 1, let ΦU​:U→D fix 0 and 1, and suppose U agrees with the disc near 1. The probability of avoiding D∖U is the ratio of the boundary Poisson-kernel densities, hence ∣ΦU′​(1)∣. Given avoidance, the conformally mapped path has the original law up to the conformal Brownian clock. There is no conformal-radius factor at the interior starting point.

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  1. Brownian motion conditioned to exit at a boundary point
  2. Doob h-transform
  3. Markov process
  4. Probability theory
  5. Probability and statistics
  6. Area of mathematics
  7. Mathematics
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  • Past exam of the mathematics course of the University of Cambridge / 2012 / iii / Paper 35 / 3 / b / Solution

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