Conformal Skorokhod embeddings and related extremal problems

DOI10.1214/20-ECP324zbMATH Open1453.60093arXiv2001.12008MaRDI QIDQ782835FDOQ782835

Hugo Panzo, Phanuel Mariano

Publication date: 29 July 2020

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

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.

Full work available at URL: https://arxiv.org/abs/2001.12008

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• The Skorokhod embedding problem and its offspring
• Optimal transport and Skorokhod embedding
• Self-similar solutions to the curve shortening flow
• The Existence of Certain Stopping Times on Brownian Motion
• Among all two-dimensional convex domains the disk is not optimal for the lifetime of a conditioned Brownian motion
• Hardy inequality and L ^p estimates for the torsion function
• On the expected exit time of planar Brownian motion from simply connected domains
• Exit times of Brownian motion, harmonic majorization, and Hardy spaces
• Brownian motion and the fundamental frequency of a drum
• The maximal expected lifetime of Brownian motion
• Harmonic measure distributions of planar domains: a survey
• Extremal problems for conditioned Brownian motion and the hyperbolic metric
• Spectral bounds for the torsion function
• Remarks on Gross' technique for obtaining a conformal Skorohod embedding of planar Brownian motion
• A conformal Skorokhod embedding
• \(L_\infty\)-estimates for the torsion function and \(L_{\infty}\)-growth of semigroups satisfying Gaussian bounds
• Principal eigenvalue estimates via the supremum of torsion
• On two functionals involving the maximum of the torsion function
• Projection estimates for harmonic measure

Cited In (8)

• Remarks on Gross' technique for obtaining a conformal Skorohod embedding of planar Brownian motion
• 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
• The Skorokhod embedding problem and its offspring
• Spectral upper bound for the torsion function of symmetric stable processes
• Improved upper bounds for the hot spots constant of Lipschitz 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

Recommendations

• Title not available (Why is that?) 👍 👎
• The Skorokhod embedding problem and its offspring 👍 👎
• The Skorokhod embedding problem for inhomogeneous diffusions 👍 👎
• A Dubins type solution to the Skorokhod embedding problem 👍 👎
• A connection of the Brascamp-Lieb inequality with Skorokhod embedding 👍 👎
• Fine properties of the optimal Skorokhod embedding problem 👍 👎
• The Generalized Shiryaev Problem and Skorokhod Embedding 👍 👎
• A new solution to the conformal Skorokhod embedding problem and applications to the Dirichlet eigenvalue problem 👍 👎
• A conformal Skorokhod embedding 👍 👎
• On Skorokhod embeddings and Poisson equations 👍 👎

This page was built for publication: Conformal Skorokhod embeddings and related extremal problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q782835)