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Asymptotics for the Expected Lifetime of Brownian Motion on Thin Domains in ℝ n

Author

Listed:
  • Denis Borisov

    (Bashkir State Pedagogical University)

  • Pedro Freitas

    (Complexo Interdisciplinar)

Abstract

We derive a three-term asymptotic expansion for the expected lifetime of Brownian motion and for the torsional rigidity on thin domains in ℝ n , and a two-term expansion for the maximum (and corresponding maximizer) of the expected lifetime. The approach is similar to that which we used previously to study the eigenvalues of the Dirichlet Laplacian and consists of scaling the domain in one direction and deriving the corresponding asymptotic expansions as the scaling parameter goes to zero. Apart from being dominated by the one-dimensional Brownian motion along the direction of the scaling, we also see that the symmetry of the perturbation plays a role in the expansion. As in the case of eigenvalues, these expansions may also be used to approximate the exit time for domains where the scaling parameter is not necessarily close to zero.

Suggested Citation

  • Denis Borisov & Pedro Freitas, 2013. "Asymptotics for the Expected Lifetime of Brownian Motion on Thin Domains in ℝ n," Journal of Theoretical Probability, Springer, vol. 26(1), pages 284-309, March.
    • Handle: RePEc:spr:jotpro:v:26:y:2013:i:1:d:10.1007_s10959-011-0363-6
    DOI: 10.1007/s10959-011-0363-6
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