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arxiv: 1103.6059 · v1 · pith:AJ54CJKAnew · submitted 2011-03-30 · 🧮 math.PR · math.FA

An isoperimetric inequality for the Wiener sausage

classification 🧮 math.PR math.FA
keywords brownianmotionsausagewieneraddedballcenteredcollection
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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.

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