Sharp integrability for Brownian motion in parabola-shaped regions (Q705334)

The authors study the sharp order integrability of the exit position of Brownian motion from the planar domains \(P_\alpha \{(x,y) \in {\mathbb {R}} \times{\mathbb {R} }: x>0, | y | < Ax^\alpha \}\), \( 0<\alpha <1\). Together with some simple good-\(\lambda\) type arguments, this implies the order of integrability for the exit time of these domains; a result first proved for \(\alpha = \frac 12\) by \textit{R. Bañuelos, R. D. DeBlassie} and \textit{R. Smits} [Ann. Probab. 29, 882--901 (2001; Zbl 1013.60060)] and for general \(\alpha\) by \textit{W. V. Li} [ibid. 31, 1078--1096 (2003; Zbl 1030.60032)]. A sharp version of this result is also proved in higher dimensions. A large part of this paper is devoted to adapting the conformal mapping techniques that have led to precise harmonic measure estimates in planar domains to the parabola-shaped regions in \({\mathbb {R}}^n \). The so-called `Carleman method' can be adapted to estimate harmonic measure in these domains. Harmonic measure is generally largest in the most symmetric case, and so one would expect the upper bounds given by the Carleman method to be reasonably precise. However, they were not able to use the Carleman method to obtain the lower bounds for harmonic measure that one need to determine the exact order of exponential integrability of the exit position. For this, the conformal mapping techniques are adapted.