Isoperimetric-type inequalities for iterated Brownian motion in R^n

Details Isoperimetric-type inequalities for iterated Brownian motion in R^n Isoperimetric-type inequalities for iterated Brownian motion in R^n

2006-02-09

arxiv.org/abs/math/0602188v1

Statistics & Probability Letters, 78 (2008), 90-95

Mathematics

Probability

10 pages

Scientific paper

10.1016/j.spl.2007.05.007

We extend generalized isoperimetric-type inequalities to iterated Brownian
motion over several domains in $\RR{R}^{n}$. These kinds of inequalities imply
in particular that for domains of finite volume, the exit distribution and
moments of the first exit time for iterated Brownian motion are maximized with
the ball $D^{*}$ centered at the origin, which has the same volume as $D$

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