Abstract
Let $\tau_\varOmega$ denote the lifetime of Brownian motion in an open connected set $\varOmega\subset\mathbb{R}^m$. We obtain the asymptotic behaviour of the expected lifetime $\mathbb{E}_x^y[\tau_\varOmega]$ as $y\to x$, where the Brownian motion is conditioned to start at $x$ and to exit $\varOmega\setminus\{y\}$ at $\{y\}$.
| Translated title of the contribution | Estimates for the expected lifetime of conditioned Brownian motion |
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| Original language | English |
| Pages (from-to) | 1091 - 1099 |
| Number of pages | 9 |
| Journal | Proceedings of the Royal Society of Edinburgh: Section A Mathematics |
| Volume | 137 (5) |
| DOIs | |
| Publication status | Published - Oct 2007 |