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Maximizing the pth moment of the exit time of planar brownian motion from a given domain

Published online by Cambridge University Press:  23 November 2020

Maher Boudabra*
Affiliation:
Monash University
Greg Markowsky*
Affiliation:
Monash University
*
*Postal address: Clayton, Victoria, Australia.
*Postal address: Clayton, Victoria, Australia.
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Abstract

In this paper we address the question of finding the point which maximizes the pth moment of the exit time of planar Brownian motion from a given domain. We present a geometrical method for excluding parts of the domain from consideration which makes use of a coupling argument and the conformal invariance of Brownian motion. In many cases the maximizing point can be localized to a relatively small region. Several illustrative examples are presented.

Information

Type
Research Papers
Copyright
© Applied Probability Trust 2020
Figure 0

Figure 1: Reflection over a circle.

Figure 1

Figure 2: Reflection over a circle.

Figure 2

Figure 3: The angle bisector and mediator.

Figure 3

Figure 4: Upper and lower bounds for pth centers.

Figure 4

Figure 5: Bounds for the annulus.

Figure 5

Figure 6: Bounds for the hyperbolic region.

Figure 6

Figure 7: Bounds for the crescent region.