On a conditioned Brownian motion and a maximum principle on the disk

被引:0
|
作者
A. Dall'Acqua
H. -C. Grunau
G. H. Sweers
机构
[1] Delft University of Technology,Department of Applied Mathematical Analysis EWI Faculty
[2] Otto-von-Guericke-Universität Magdeburg,Institut für Analysis und Numerik Fakultät für Mathematik
来源
关键词
Brownian Motion; Maximum Principle; Green Function; Conformal Mapping; Elliptic System;
D O I
暂无
中图分类号
学科分类号
摘要
Bounds for the 3G-expression∫ΩG(x,z)G(z,y)d,z/G(x,y) play a fundamental role in potential theory. Here,G(x,y) is the Green function for the Laplace problem with zero dirichlet boundary conditions on Ω. The 3G-formula equals\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document} $${\mathbb{E}}_x^y (\tau _\Omega )$$ \end{document}, the expected lifetime for a Brownian motion starting in\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document} $$x \in \bar \Omega $$ \end{document} that is killed on exiting ω and conditioned to converge to and to be stopped at\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document} $$y \in \bar \Omega $$ \end{document}. Although it was shown by probabilistic methods for bounded (simply connected) 2d-domains that ifx ε δΩ, then the supremum ofy \at Exy is assumed for somey at the boundary, the analogous question remained open forx in the interior. Here we are able to give an answer in the case thatB ⊂ ℝ is the unit disk. The dependence of this quantity on the positions ofx andy is investigated, and it is shown that indeed Exy(\gt\om) is maximized on\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document} $$\bar B^2 $$ \end{document} by opposite boundary points. The result also gives an answer to a number of questions related to the best constant for the positivity-preserving property of some elliptic systems. In particular, it confirms a, relationExy(\gt\om) with a ‘sum of inverse eigenvalues’ that was conjectured recently by Kawohl and Sweers.
引用
收藏
页码:309 / 329
页数:20
相关论文
共 50 条
  • [1] On a conditioned Brownian motion and a maximum principle on the disk
    Dall'Acqua, A
    Grunau, HC
    Sweers, GH
    [J]. JOURNAL D ANALYSE MATHEMATIQUE, 2004, 93 (1): : 309 - 329
  • [2] Refined Large Deviation Principle for Branching Brownian Motion Conditioned to Have a Low Maximum
    Bai, Yanjia
    Hartung, Lisa
    [J]. ALEA-LATIN AMERICAN JOURNAL OF PROBABILITY AND MATHEMATICAL STATISTICS, 2022, 19 (01): : 859 - 880
  • [3] Branching Brownian motion conditioned on small maximum
    Chen, Xinxin
    He, Hui
    Mallein, Bastien
    [J]. ALEA-LATIN AMERICAN JOURNAL OF PROBABILITY AND MATHEMATICAL STATISTICS, 2023, 20 (02): : 905 - 940
  • [4] A LOW INTENSITY MAXIMUM PRINCIPLE FOR BI-BROWNIAN MOTION
    SALISBURY, TS
    [J]. ILLINOIS JOURNAL OF MATHEMATICS, 1992, 36 (01) : 1 - 14
  • [5] A stochastic maximum principle for processes driven by fractional Brownian motion
    Biagini, F
    Hu, YZ
    Oksendal, B
    Sulem, A
    [J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2002, 100 : 233 - 253
  • [6] Statistics of the first passage time of Brownian motion conditioned by maximum value or area
    Kearney, Michael J.
    Majumdar, Satya N.
    [J]. JOURNAL OF PHYSICS A-MATHEMATICAL AND THEORETICAL, 2014, 47 (46)
  • [7] Brownian motion conditioned to stay in a cone
    Garbit, Rodolphe
    [J]. JOURNAL OF MATHEMATICS OF KYOTO UNIVERSITY, 2009, 49 (03): : 573 - 592
  • [8] THE LIFETIME OF CONDITIONED BROWNIAN-MOTION
    CRANSTON, M
    MCCONNELL, TR
    [J]. ZEITSCHRIFT FUR WAHRSCHEINLICHKEITSTHEORIE UND VERWANDTE GEBIETE, 1983, 65 (01): : 1 - 11
  • [9] Conditioned Brownian motion and multipliers into SL∞
    Jones, PW
    Müller, PFX
    [J]. GEOMETRIC AND FUNCTIONAL ANALYSIS, 2004, 14 (02) : 319 - 379
  • [10] CONDITIONED SUPER-BROWNIAN MOTION
    OVERBECK, L
    [J]. PROBABILITY THEORY AND RELATED FIELDS, 1993, 96 (04) : 545 - 570