Conformal Skorokhod embeddings and related extremal problems

DOI10.1214/20-ECP324MaRDI QIDQ782835zbMATH OpenFDO

Authors Phanuel Mariano, Hugo Panzo

Publication date 29 July 2020

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

Full work available at URL https://arxiv.org/abs/2001.12008, https://projecteuclid.org/euclid.ecp/1592446014

zbMATH Keywords

principal eigenvalueharmonic measuretorsion functioncatenary of equal resistanceconformal Skorokhod embeddinggrim reaper curve

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Capacity and harmonic measure in the complex plane (30C85) Conformal mappings of special domains (30C20) Extremal problems for conformal and quasiconformal mappings, variational methods (30C70)

Abstract: The conformal Skorokhod embedding problem (CSEP) is a planar variant of the classical problem where the solution is now a simply connected domain $DsubsetmathbbC$ whose exit time embeds a given probability distribution $mu$ by projecting the stopped Brownian motion onto the real axis. In this paper we explore two new research directions for the CSEP by proving general bounds on the principal Dirichlet eigenvalue of a solution domain in terms of the corresponding $mu$ and by proposing related extremal problems. Moreover, we give a new and nontrivial example of an extremal domain $mathbbU$ that attains the lowest possible principal Dirichlet eigenvalue over all domains solving the CSEP for the uniform distribution on $[-1,1]$. Remarkably, the boundary of $mathbbU$ is related to the Grim Reaper translating solution to the curve shortening flow in the plane. The novel tool used in the proof of the sharp lower bound is a precise relationship between the widths of the orthogonal projections of a simply connected planar domain and the support of its harmonic measure that we develop in the paper. The upper bound relies on spectral bounds for the torsion function which have recently appeared in the literature.

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Cited in

(8)

• The Skorokhod embedding problem and its offspring
• A new solution to the conformal Skorokhod embedding problem and applications to the Dirichlet eigenvalue problem
• On the finiteness of moments of the exit time of planar Brownian motion from comb domains
• Bounds for exit times of Brownian motion and the first Dirichlet eigenvalue for the Laplacian
• On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals
• Improved upper bounds for the hot spots constant of Lipschitz domains
• Remarks on Gross' technique for obtaining a conformal Skorohod embedding of planar Brownian motion
• Spectral upper bound for the torsion function of symmetric stable processes

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