Brownian motion with negative drift and convex level sets in space-time

DOI10.1007/BF01312218MaRDI QIDQ911165zbMATH OpenFDO

Authors Christer Borell

Publication date 1991

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF01312218

zbMATH Keywords

Brownian exponential martingaleconvex level setsdiffusion equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60)

Review text

Suppose a, b, and \(\mu\) are reals with \(a<b\) and consider the following diffusion equation \[ 2^{-1}\partial^ 2u/\partial x^ 2+\mu (\partial u/\partial x)=\partial u/\partial t,\quad a<x<b,\quad t>0, \] \[ u(x,0)=0,\quad u(a,t)=0,\quad u(b,t)=1. \] If \(\mu\leq 0\), we prove that all the level sets \(\{\) \(\mu\geq p\}\) \((0<p<1)\) are convex. The special case \(\mu =0\) is well-known. The present extension is mainly motivated by our interest in the Brownian exponential martingale. Actually, the mathematical results of this paper are given for several space dimensions.

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Cites work

• Brownian motion in a convex ring and quasi-concavity
• scientific article; zbMATH DE number 4138874 (Why is no real title available?)
• scientific article; zbMATH DE number 4078444 (Why is no real title available?)

Cited in

(1)

• On the time spent above a level by Brownian motion with negative drift

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