An isoperimetric inequality for the Wiener sausage (Q690615): Difference between revisions

Let \((\xi_t)_{t \geq 0}\) be a standard Brownian motion and \((D_t)_{t\geq 0}\) a collection of open sets in \(\mathbb R^d\). For each \(t\), let \(B_t\) be the ball centered at 0 with \(\operatorname{vol}(B_t) = \operatorname{vol}(D_t)\). The authors prove that \[ \operatorname{E}[\operatorname {vol}(\bigcup_{s \leq t}(\xi(s) + D_s))] \geq \operatorname{E}[\operatorname{vol}(\bigcup_{s \leq t}(\xi(s) + B_s))] \] for \(t\geq 0\). In particular, this implies that the expected volume of the Wiener sausage increases when a drift is added to the Brownian motion. For the proof, the authors first derive the isoperimetric inequality above for certain radially symmetric random walks using a rearrangement inequality of \textit{A. Burchard} and \textit{M. Schmuckenschläger} [Geom. Funct. Anal. 11, No. 4, 651--692 (2001; Zbl 0995.60018)] and a comparison of spheres with their tangent planes.