English

An isoperimetric inequality for the Wiener sausage

Probability 2011-04-01 v1 Functional Analysis

Abstract

Let (ξ(s))s0(\xi(s))_{s\geq 0} be a standard Brownian motion in d1d\geq 1 dimensions and let (Ds)s0(D_s)_{s \geq 0} be a collection of open sets in Rd\R^d. For each ss, let BsB_s be a ball centered at 0 with \vol(Bs)=\vol(Ds)\vol(B_s) = \vol(D_s). We show that \E[\vol(st(ξ(s)+Ds))]\E[\vol(st(ξ(s)+Bs))]\E[\vol(\cup_{s \leq t}(\xi(s) + D_s))] \geq \E[\vol(\cup_{s \leq t}(\xi(s) + B_s))], for all tt. In particular, this implies that the expected volume of the Wiener sausage increases when a drift is added to the Brownian motion.

Keywords

Cite

@article{arxiv.1103.6059,
  title  = {An isoperimetric inequality for the Wiener sausage},
  author = {Yuval Peres and Perla Sousi},
  journal= {arXiv preprint arXiv:1103.6059},
  year   = {2011}
}