Asymptotics for the expected lifetime of Brownian motion on thin domains in R^n

DOI10.1007/S10959-011-0363-6MaRDI QIDQ742113zbMATH OpenOpenAlexFDO

Authors Pedro Freitas, Denis Borisov

Publication date 18 September 2014

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0909.5516

zbMATH Keywords

asymptotic expansionbrownian motionexit timetorsion

Mathematics Subject Classification ID

Laplace operator, Helmholtz equation (reduced wave equation), Poisson equation (35J05) Brownian motion (60J65)

Abstract: We derive a three-term asymptotic expansion for the expected lifetime of Brownian motion and for the torsional rigidity on thin domains in R^n, and a two-term expansion for the maximum (and corresponding maximizer) of the expected lifetime. The approach is similar to that which we used previously to study the eigenvalues of the Dirichlet Laplacian and consists of scaling the domain in one direction and deriving the corresponding asymptotic expansions as the scaling parameter goes to zero. Apart from being dominated by the one-dimensional Brownian motion along the direction of the scaling, we also see that the symmetry of the perturbation plays a role in the expansion. As in the case of eigenvalues, these expansions may also be used to approximate the exit time for domains where the scaling parameter is not necessarilly close to zero.

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Cites work

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Cited in

(10)

• Asymptotic behaviour of a Brownian motion on exterior domains
• Torsional rigidity for regions with a Brownian boundary
• On functionals involving the torsional rigidity related to some classes of nonlinear operators
• Inequalities between torsional rigidity and principal eigenvalue of the \(p\)-Laplacian
• Some inequalities involving perimeter and torsional rigidity
• Torsional Rigidity and Expected Lifetime of Brownian Motion
• Uniform level set estimates for ground state eigenfunctions
• Torsional rigidity for cylinders with a Brownian fracture
• On relations between principal eigenvalue and torsional rigidity
• Local and global maxima for the expectation of the lifetime of a Brownian motion on the disk

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