Abstract
Let TD denote the first exit time of a planar Brownian motion from a domain D. Given two simply connected planar domains U,W≠C containing 0, we investigate the cases in which we are more likely to have fast exits (meaning P(TU<t)>P(TW<t) for t small) from U than from W, or long stays (meaning P(TU>t)>P(TW>t) for t large). We prove several results on these questions. In particular, we show that the primary factor in the probability of fast exits is the proximity of the boundary to the origin, while for long stays an important factor is the moments of the exit time. The complex analytic theory that motivated our inquiry is also discussed.
| Original language | English |
|---|---|
| Article number | 124454 |
| Journal | Journal of Mathematical Analysis and Applications |
| Volume | 493 |
| Issue number | 1 |
| DOIs | |
| State | Published - 1 Jan 2021 |
| Externally published | Yes |
Bibliographical note
Publisher Copyright:© 2020 Elsevier Inc.
Keywords
- Exit times
- Planar Brownian motion
- Simply connected domains
ASJC Scopus subject areas
- Analysis
- Applied Mathematics
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