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

Maher Boudabra; Greg Markowsky

doi:10.1017/jpr.2020.54

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

Maher Boudabra, Greg Markowsky

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3 Scopus citations

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.

Original language	English
Pages (from-to)	1135-1149
Number of pages	15
Journal	Journal of Applied Probability
Volume	57
Issue number	4
DOIs	https://doi.org/10.1017/jpr.2020.54
State	Published - Dec 2020
Externally published	Yes

Bibliographical note

Publisher Copyright:
© Applied Probability Trust 2020.

Keywords

Planar Brownian motion
exit time

ASJC Scopus subject areas

Statistics and Probability
General Mathematics
Statistics, Probability and Uncertainty

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10.1017/jpr.2020.54

Cite this

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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.",

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

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

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