An isoperimetric inequality for the Wiener sausage
Abstract
Let $(\xi(s))_{s\geq 0}$ be a standard Brownian motion in $d\geq 1$ dimensions and let $(D_s)_{s \geq 0}$ be a collection of open sets in $\R^d$. For each $s$, let $B_s$ be a ball centered at 0 with $\vol(B_s) = \vol(D_s)$. We show that $\E[\vol(\cup_{s \leq t}(\xi(s) + D_s))] \geq \E[\vol(\cup_{s \leq t}(\xi(s) + B_s))]$, for all $t$. In particular, this implies that the expected volume of the Wiener sausage increases when a drift is added to the Brownian motion.
- Publication:
-
arXiv e-prints
- Pub Date:
- March 2011
- DOI:
- 10.48550/arXiv.1103.6059
- arXiv:
- arXiv:1103.6059
- Bibcode:
- 2011arXiv1103.6059P
- Keywords:
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- Mathematics - Probability;
- Mathematics - Functional Analysis;
- Primary 26D15;
- 60J65;
- Secondary 60D05;
- 60G55;
- 60G50