Maximizing the pp-th moment of exit time of planar Brownian motion from a given domain

preprint2020arXivOpen access

Abstract

In this paper we address the question of finding the point which maximizes the pp-th moment of the exit time of planar Brownian motion from a given domain. We present a geometrical method of excluding parts of the domain from consideration which makes use of a coupling argument and the conformal invariance of Brownian motion. In many cases the maximizing point can be localized to a relatively small region. Several illustrative examples are presented.

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