On the expected exit time of planar Brownian motion from simply connected domains

This paper presents some results on the expected exit time of Brownian motion from simply connected domains in $\CC$. We indicate a way in which Brownian motion sees the identity function and the Koebe function as the smallest and largest analytic functions, respectively, in the Schlicht class. We also give a sharpening of a result of McConnell's concerning the moments of exit times of Schlicht domains. We then show how a simple formula for expected exit time can be applied in a series of examples. Included in the examples given are the expected exit times from given points of a cardioid and regular $m$-gon, as well as bounds on the expected exit time of an infinite wedge. We also calculate the expected exit time of an infinite strip, and in the process obtain a probabilistic derivation of Euler's result that $ζ(2)=\sum_{n=1}^\ff \frac{1}{n^2}= \frac{π^2}{6}$. We conclude by showing how the formula can be applied to some domains which are not simply connected.

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