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Brownian motion in cones

Probability Theory and Related Fields (1997) 108(3) 299-319
DOI: 10.1007/s004400050111
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Abstract

We study the asymptotic behavior of Brownian motion and its conditioned process in cones using an infinite series representation of its transition density. A concise probabilistic interpretation of this series in terms of the skew product decomposition of Brownian motion is derived and used to show properties of the transition density.

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Bañuelos, R., & Smits, R. G. (1997). Brownian motion in cones. Probability Theory and Related Fields, 108(3), 299–319. https://doi.org/10.1007/s004400050111

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