Conditioned Brownian motion in simply connected planar domains
Let \(D\) be a domain in \(\mathbb{R}^ 2\) and \({\mathcal H}^ +(D)\) the family of all positive harmonic functions in \(D\). For \(h\in{\mathcal H}^ +(D)\) and \(x\in D\), let \(P^ h_ x\) denote the measure on path space under which the canonical process \(Z_ t\) is a Doob conditioned Brownian motion or \(h\)-process. Let \(\tau_ D=\inf\{t\): \(Z_ t\not\in D\}\) be its lifetime. It has been proved by \textit{M. Cranston} and \textit{T. R. McConnell} [Z. Wahrscheinlichkeitstheorie Verw. Geb. 65, 1-11 (1983; Zbl 0506.60071)] that for any domain \(D\subset\mathbb{R}^ 2\) there is a constant \(c_ D\) such that \[ \sup_{x\in D, h\in{\mathcal H}^ +(D)} E^ h_ x \tau_ D\leq c_ D| D|, \qquad\text{ and }\qquad \sup_ D c_ D<\infty. \] In the present paper the authors evaluate the best possible constant among all simply connected domains. They prove that \(\sup\{c_ D\): \(D\) is simply connected\(\}=1/\pi\) and that the supremum can not be attained. It is shown that ``near extremal domains include long thin rectangles. On the opposite side, it is explicitly computed that for the unit disc \(c_ D=(\log 2-2)/\pi\). The methods used are mainly analytic, and the proofs rely on the open mapping theorem, and the explicit form of the Green function and the Poisson kernel for the unit disc.
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