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

被引:2
|
作者
Boudabra, Maher [1 ]
Markowsky, Greg [1 ]
机构
[1] Monash Univ, Clayton, Vic, Australia
关键词
Planar Brownian motion; exit time;
D O I
10.1017/jpr.2020.54
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
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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页码:1135 / 1149
页数:15
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