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2020 Conformal Skorokhod embeddings and related extremal problems
Phanuel Mariano, Hugo Panzo
Electron. Commun. Probab. 25(none): 1-11 (2020). DOI: 10.1214/20-ECP324

Abstract

The conformal Skorokhod embedding problem (CSEP) is a planar variant of the classical problem where the solution is now a simply connected domain $D\subset \mathbb {C}$ whose exit time embeds a given probability distribution $\mu $ by projecting the stopped Brownian motion onto the real axis. In this paper we explore two new research directions for the CSEP by proving general bounds on the principal Dirichlet eigenvalue of a solution domain in terms of the corresponding $\mu $ and by proposing related extremal problems. Moreover, we give a new and nontrivial example of an extremal domain $\mathbb {U}$ that attains the lowest possible principal Dirichlet eigenvalue over all domains solving the CSEP for the uniform distribution on $[-1,1]$. Remarkably, the boundary of $\mathbb {U}$ is related to the Grim Reaper translating solution to the curve shortening flow in the plane. The novel tool used in the proof of the sharp lower bound is a precise relationship between the widths of the orthogonal projections of a simply connected planar domain and the support of its harmonic measure that we develop in the paper. The upper bound relies on spectral bounds for the torsion function which have recently appeared in the literature.

Citation

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Phanuel Mariano. Hugo Panzo. "Conformal Skorokhod embeddings and related extremal problems." Electron. Commun. Probab. 25 1 - 11, 2020. https://doi.org/10.1214/20-ECP324

Information

Received: 27 March 2020; Accepted: 21 May 2020; Published: 2020
First available in Project Euclid: 18 June 2020

zbMATH: 07225535
MathSciNet: MR4112773
Digital Object Identifier: 10.1214/20-ECP324

Subjects:
Primary: 60G40, 60J65
Secondary: 30C20, 30C70, 30C85

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