Exit times of diffusions with incompressible drift
Analysis of PDEs
2009-11-13 v1 Probability
Abstract
Let be a bounded domain and for let be the expected exit time from of a diffusing particle starting at and advected by an incompressible flow . We are interested in the question which flows maximize , that is, they are most efficient in the creation of hotspots inside . Surprisingly, among all simply connected domains in two dimensions, the discs are the only ones for which the zero flow maximises . We also show that in any dimension, among all domains with a fixed volume and all incompressible flows on them, is maximized by the zero flow on the ball.
Cite
@article{arxiv.0911.2294,
title = {Exit times of diffusions with incompressible drift},
author = {Gautam Iyer and Alexei Novikov and Lenya Ryzhik and Andrej Zlatos},
journal= {arXiv preprint arXiv:0911.2294},
year = {2009}
}
Comments
15 pages, 1 figure