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On the lifetime of a conditioned Brownian motion in the ball
Authors:Anna Dall'Acqua
Institution:Zentrum Mathematik, Technischen Universität München, Boltzmannstr. 3, 85747 Garching bei München, Germany
Abstract:Consider the Brownian motion conditioned to start in x, to converge to y, with View the MathML source, and to be killed at the boundary ∂Ω. Here Ω is a bounded domain in Rn. For which x and y is the lifetime of this Brownian motion maximal? One would guess for x and y being opposite boundary points and we will show that this holds true for balls in Rn. As a consequence we find the best constant for the positivity preserving property of some elliptic systems and an identity between this constant and a sum of inverse Dirichlet eigenvalues.
Keywords:Expected lifetime of a Brownian motion  Conformal maps  Maximum principle  Sum of eigenvalues
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