Comparison theorems for exit times
Let \(\mathbb M_{\kappa}\) be the sphere, the Euclidean space or the hyperbolic space, with curvature \(\kappa\), and \(X_t\) a Brownian motion on \(\mathbb M_{\kappa}\). If \(A\) is a Borel set of finite volume and \(T_A:=\inf\{t>0:\;X_t\not\in A\}\), denote by \(u_A(t,x)\) the probability \(P_x\{T_A>t\}\), where \(x\) is the starting point of \(X_t\). Theorem 1. Let \(A^*\) be an open geodesic disc of the same volume as \(A\), and \(F\) a convex increasing function. Then \[ \int_A F(u_A(t,x)) dx \leq \int_A F(u_A^*(t,x)) dx, \] where equality for non-constant \(F(u_A^*(t,\cdot))\) holds only when there is a disc \(D\) for which \(A-D\) has zero volume and \(D-A\) is a polar set. This statement can be reformulated in the form: \[ \int_B u_A(t,x) dx \leq \int_{B^*} u_A^*(t,x) dx, \] for any Borel set \(B\subset A\). Theorem 1 can be applied to inequalities of exit times and the spectrum of Dirichlet heat kernels. Fix a point \(x^*\in \mathbb M_{\kappa}\). The spherical rearrangement \(A^*\) of a set \(A\subset\mathbb M_{\kappa}\) of finite volume is the disc centred at \(x^*\) with the same volume as \(A\). If \(f\) is a nonnegative measurable function ``vanishing at infinity, its spherically decreasing rearrangement \(f^*\) is the non-increasing and lower semicontinuous function of the distance \(d(x,x^*)\) which is equimeasurable with \(f\). Theorem 2. Denote \[ \mathcal J(f_1,\dots,f_n):= \int\cdots\int \prod_{1\leq i\leq n} f_i(x_i) \prod_{1\leq i<j\leq n} k_{ij}(x_i,x_j) dx_1\cdots dx_n, \] where the kernels \(k\) are nonincreasing functions of distance. Then, for any nonnegative measurable functions \(f_1,\dots,f_n\) on \(\mathbb M_{\kappa}\), \( \mathcal J(f_1,\dots,f_n) \leq \mathcal J(f_1^*,\dots,f_n^*),\) where the \(f^*\) are the spherically decreasing rearrangements of the \(f\) about a point \(x^*\in\mathbb M_{\kappa}\). Theorem 2 allows to prove the above reformulation of Theorem 1, taking limits as \(n\to\infty\). Theorem 3: If \(P^t\) is the heat semigroup on \(\mathbb M_{\kappa}\), \(A\) is a Borel subset of finite volume, and \(\text{Per}(A)\) denotes its perimeter, then \[ \text{Per}(A) \geq \varlimsup_{t\to 0^+} \sqrt{\pi/t}\int_{A^c} P^t_A, \] with equality if the boundary of \(A\) is twice continuously differentiable. From Theorem 3, one obtains \[ \text{Per}(A)=\lim_{t\to 0^+} \sqrt{\pi/4t} \int_A (1-u_A(t,x)) dx, \] for sufficiently regular subsets of \(\mathbb M_{\kappa}\). Theorem 1 with \(F(z)=z\) is equivalent to \[ \int_A (1-u_A(t,x)) dx \geq \int_{A^*} (1-u_A^*(t,x)) dx. \] Taking \(\lim_{t\to 0^+}\) and applying the equality above, the isoperimetric inequality is obtained: \(\text{ Per}(A)\geq \text{Per}(A^*)\). Theorem 3 and the equality for the perimeter are true in more general Riemann manifolds. The paper ends with two conjectures regarding possible generalisations of Theorem 1 and Theorem 2 to Riemann manifolds of non-constant curvature.
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