Where Did the Brownian Particle Go

Consider the radial projection onto the unit sphere of the path a $d$-dimensional Brownian motion $W$, started at the center of the sphere and run for unit time. Given the occupation measure $\mu$ of this projected path, what can be said about the terminal point $W(1)$, or about the range of the original path? In any dimension, for each Borel set $A$ in $S^{d-1}$, the conditional probability that the projection of $W(1)$ is in $A$ given $\mu(A)$ is just $\mu(A)$. Nevertheless, in dimension $d \ge 3$, both the range and the terminal point of $W$ can be recovered with probability 1 from $\mu$. In particular, for $d \ge 3$ the conditional law of the projection of $W(1)$ given $\mu$ is not $\mu$. In dimension 2 we conjecture that the projection of $W(1)$ cannot be recovered almost surely from $\mu$, and show that the conditional law of the projection of $W(1)$ given $\mu$ is not $mu$.

[1]  M. Yor Some Aspects Of Brownian Motion , 1992 .

[2]  J. Kingman Random Discrete Distributions , 1975 .

[3]  M. Yor,et al.  The Brownian Burglar: conditioning Brownian motion by its local time process , 1998 .

[4]  J. Sethuraman A CONSTRUCTIVE DEFINITION OF DIRICHLET PRIORS , 1991 .

[5]  G. Lawler,et al.  Nonintersection Exponents for Brownian Paths. II. Estimates and Applications to a Random Fractal , 1990 .

[6]  D. Aldous Exchangeability and related topics , 1985 .

[7]  Jim Pitman,et al.  Arcsine Laws and Interval Partitions Derived from a Stable Subordinator , 1992 .

[8]  Some aspects of Brownian motion. Part I: Some special functionals , 1994 .

[9]  N. H. Bingham,et al.  On higher-dimensional analogues of the arc-sine law , 1988, Journal of Applied Probability.

[10]  P. Carmona,et al.  Some extensions of the arc sine law as partial consequences of the scaling property of Brownian motion , 1994 .

[11]  F. Petit Quelques extensions de la loi de l'arcsinus , 1992 .

[12]  M. Perman,et al.  Perturbed Brownian motions , 1997 .

[13]  James E. pLebensohn Geometry and the Imagination , 1952 .

[14]  M. Taqqu A Bibliographical Guide to Self-Similar Processes and Long-Range Dependence , 1986 .

[15]  G. Lawler,et al.  Non-intersection exponents for Brownian paths , 1990 .

[16]  B. A. Rogozin,et al.  On Joint Distributions of Random Variables Associated with Fluctuations of a Process with Independent Increments , 1969 .

[17]  Uniform measure results for the image of subsets under Brownian motion , 1987 .

[18]  Richard F. Bass,et al.  Local times on curves and uniform invariance principles , 1992 .

[19]  A. Dembo,et al.  Thick points for planar Brownian motion and the Erdős-Taylor conjecture on random walk , 2001 .

[20]  M. Yor,et al.  Beta Variables as Times Spent in [0, ∞[ By Certain Perturbed Brownian Motions , 1998 .

[21]  J. Lamperti Semi-stable stochastic processes , 1962 .

[22]  On the upcrossing chains of stopped Brownian motion , 1998 .

[23]  M. Yor,et al.  Quelques identités en loi pour les processus de Bessel , 2018, Astérisque.

[24]  J. Pitman,et al.  Random Discrete Distributions Derived from Self-Similar Random Sets , 1996 .

[25]  T. Ferguson Prior Distributions on Spaces of Probability Measures , 1974 .

[26]  Jim Pitman,et al.  On Walsh's Brownian motions , 1989 .

[27]  H. McKean,et al.  Diffusion processes and their sample paths , 1996 .

[28]  K. Burdzy Cut Points on Brownian Paths , 1989 .

[29]  R. Durrett Probability: Theory and Examples , 1993 .

[30]  David Aldous Brownian Excursion Conditioned on Its Local Time , 1998 .

[31]  A. Dembo,et al.  Thick points for spatial Brownian motion: multifractal analysis of occupation measure , 2000 .

[32]  J. Pitman,et al.  Size-biased sampling of Poisson point processes and excursions , 1992 .

[33]  K. Burdzy Labyrinth dimension of Brownian trace , 1995 .

[34]  M. Yor,et al.  Continuous martingales and Brownian motion , 1990 .

[35]  R. Getoor,et al.  On the arc-sine laws for Lévy processes , 1994, Journal of Applied Probability.

[36]  G. G. Stokes "J." , 1890, The New Yale Book of Quotations.

[37]  P. Levy Sur certains processus stochastiques homogènes , 1940 .

[38]  J. Lamperti Semi-stable Markov processes. I , 1972 .

[39]  Herman Rubin,et al.  A Characterization Based on the Absolute Difference of Two I. I. D. Random Variables , 1970 .

[40]  Ts. G. Ignatov On a Constant Arising in the Asymptotic Theory of Symmetric Groups, and on Poisson–Dirichlet Measures , 1982 .

[41]  S. Taylor DIFFUSION PROCESSES AND THEIR SAMPLE PATHS , 1967 .