Minimum curvature flow and martingale exit times

arXiv2003.13611MaRDI QIDQ6337690FDOQ6337690

Authors: Martin Larsson, Johannes Ruf 

Publication date: 30 March 2020

Abstract: We study the following question: What is the largest deterministic amount of time $T_{*}$ that a suitably normalized martingale $X$ can be kept inside a convex body $K$ in $mathbb{R}^d$? We show, in a viscosity framework, that $T_{*}$ equals the time it takes for the relative boundary of $K$ to reach $X(0)$ as it undergoes a geometric flow that we call (positive) minimum curvature flow. This result has close links to the literature on stochastic and game representations of geometric flows. Moreover, the minimum curvature flow can be viewed as an arrival time version of the Ambrosio--Soner codimension-$(d-1)$ mean curvature flow of the $1$-skeleton of $K$. Our results are obtained by a mix of probabilistic and analytic methods.

Mathematics Subject Classification ID

Nonlinear elliptic equations (35J60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)

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