Brownian motion with negative drift and convex level sets in space-time (Q911165)

Suppose a, b, and \(\mu\) are reals with \(a<b\) and consider the following diffusion equation \[ 2^{-1}\partial^ 2u/\partial x^ 2+\mu (\partial u/\partial x)=\partial u/\partial t,\quad a<x<b,\quad t>0, \] \[ u(x,0)=0,\quad u(a,t)=0,\quad u(b,t)=1. \] If \(\mu\leq 0\), we prove that all the level sets \(\{\) \(\mu\geq p\}\) \((0<p<1)\) are convex. The special case \(\mu =0\) is well-known. The present extension is mainly motivated by our interest in the Brownian exponential martingale. Actually, the mathematical results of this paper are given for several space dimensions.