On the expected exit time of planar Brownian motion from simply connected domains

DOI10.1214/ECP.V16-1653zbMATH Open1243.60064arXiv1108.1188MaRDI QIDQ428700FDOQ428700

Greg Markowsky

Publication date: 22 June 2012

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: This paper presents some results on the expected exit time of Brownian motion from simply connected domains in $CC$. We indicate a way in which Brownian motion sees the identity function and the Koebe function as the smallest and largest analytic functions, respectively, in the Schlicht class. We also give a sharpening of a result of McConnell's concerning the moments of exit times of Schlicht domains. We then show how a simple formula for expected exit time can be applied in a series of examples. Included in the examples given are the expected exit times from given points of a cardioid and regular $m$-gon, as well as bounds on the expected exit time of an infinite wedge. We also calculate the expected exit time of an infinite strip, and in the process obtain a probabilistic derivation of Euler's result that $zeta(2)=su{m}_{n=1}^{f}ffrac1n^2=fracp{i}^{2}6$. We conclude by showing how the formula can be applied to some domains which are not simply connected.

Full work available at URL: https://arxiv.org/abs/1108.1188

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zbMATH Keywords

Brownian motionexit timeconformal maps

Mathematics Subject Classification ID

Brownian motion (60J65) General theory of conformal mappings (30C35)

Cited In (9)

• Exit and occupation times for Brownian motion on graphs with general drift and diffusion constant
• A collection of results relating the geometry of plane domains and the exit time of planar Brownian motion
• Bounds for exit times of Brownian motion and the first Dirichlet eigenvalue for the Laplacian
• On the exit distribution of partially reflected Brownian motion in planar domains
• On the probability of fast exits and long stays of a planar Brownian motion in simply connected domains
• A method for deriving hypergeometric and related identities from theH²Hardy norm of conformal maps
• Conformal Skorokhod embeddings and related extremal problems
• Title not available (Why is that?)
• Torsional rigidity for regular polygons

Uses Software

• Schwarz-Christoffel
• SC Toolbox

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