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Quadrature domains and Brownian motion - (A heuristic approach)
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.).
2005 (English)In: Quadrature Domains and Their Applications: The Harold S. Shapiro Anniversary Volume / [ed] Ebenfelt, P; Gaustafsson, B; Khavinson, D; Putinar, M, 2005, Vol. 156, 207-215 p.Conference paper, Published paper (Refereed)
Abstract [en]

In this note we will make an attempt to link the theory of the so-called quadrature domains (QD) to stochastic analysis. We show that a QD, with the underlying measure M, can be represented as the set of points x, for which the expectation value (average reward) E-x (-theta + integral(theta)(0) mu(X-t)), is positive for some (bounded) stopping time theta. Here X-t denotes the Brownian motion starting at the point x, and E-x denotes the expectation with respect to the underlying probability measure P-x.

Place, publisher, year, edition, pages
2005. Vol. 156, 207-215 p.
Series
OPERATOR THEORY : ADVANCES AND APPLICATIONS, ISSN 0255-0156 ; 156
Keyword [en]
Brownian motion, quadrature domains, variational inequalities
National Category
Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-43268ISI: 000228460400011ISBN: 3-7643-7145-5 (print)OAI: oai:DiVA.org:kth-43268DiVA: diva2:448729
Conference
Conference on Quadrature Domains and Their Applications held in honor of Harold S Shapiro 75th Birthday Location: Univ Calif Santa Barbara, Santa Barbara, CA Date: MAR 27-30, 2003
Note

QC 20111018

Available from: 2011-10-18 Created: 2011-10-14 Last updated: 2016-12-21Bibliographically approved

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  • nn-NB
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  • Other locale
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Output format
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  • asciidoc
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