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In today's lecture, instructor said that $\mathbb{P}\{T_1>t\}\le ae^{-bt}\,\forall t>0$ for some positive $a,b$, as if it is a "trivial" fact. Although I know $\mathbb{E}[T_1]<\infty$, but I couldn't prove it after some try.

$T_1=\min\{t: |W(t)|=1\}$ where $W(t)$ is a standard 1d brownian motion beginning at $0$.

I am trying to create a heat equation but I get stuck on how to define the boundary condition. Is it $u(t,1)=u(t,-1)=0$? Do we also have $u_x(t,1)=u_x(t,-1)=0$?

Could anyone help to get it?

1 Answers1

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I don't think this is a trivial fact but maybe it is something that follows without too much difficulty from something you've seen before. I'll offer two ways of seeing this.

The more advanced of the two (but accessible if you happen to know things about connections between Brownian motion and PDE) is to recall that $u(x,t) = \mathbb{P}_x(T_1 > t)$ solves the heat equation on $[-1,1]$ with boundary conditions that can be read off the above formula for $u$. Then one can write $u$ in terms of a Fourier series that has an exponential term and apply brutal estimates. I leave this as a straightforward exercise if you know the PDE connection.

The approach that is more accessible again requires us to consider $u(x,t)$ as above (the idea is that we want to use the strong Markov property of Brownian motion so we will want to be able to consider different starting points for the BM). I claim first that there exists $q \in (0,1)$ such that for $k \in \mathbb{N}$ and $x \in (-1,1)$ one has that $u(x,k) \leq q^k$.

I prove this by induction. First, note that $$\mathbb{P}_x[T_1 < 1] \geq \mathbb{P}[|B_1 - x| > 2] = \mathbb{P}_0[|B_1| > 2] =: p > 0.$$ Let $q = 1 - p$ so that the above forms the base case for the induction. Then by the strong Markov property and the fact that $B_1 - x$ is distributed as a standard Gaussian under $\mathbb{P}_x$ we have that \begin{align*} \mathbb{P}_x[T_1 > k] \leq& (2 \pi)^{-1/2} \int_{-1}^{1} e^{-|x-y|^2/2} \mathbb{P}_y[T \geq k-1] dy \\ \leq& q^{k-1} \mathbb{P}_x(B_1 \in [-1,1]) \\ \leq& q^{k-1} \mathbb{P}_x(|B_1 - x| \leq 2) = q^k \end{align*} completing the induction.

Your desired result then follows by taking $q = e^{-b}$ and writing $$\mathbb{P}_0[T_1 > t] \leq \mathbb{P}_0[T_1 > \lfloor t \rfloor] \leq e^{-b \lfloor t \rfloor} = e^{b(t - \lfloor t \rfloor)} e^{-bt} \leq e^b e^{-bt}$$

In fact, this proof extends with basically no work to show that the exit time of a $d$-dimensional Brownian motion of an open bounded set $U$ has exponential tails and hence finite moments of all orders.

Rhys Steele
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  • Thank you ! The heat equation is exactly the material that was talked last week. But it was just mentioned a little bit due to the limitation of the time left in this term. –  Nov 30 '21 at 00:17
  • What would the b.c. be? Is it $u(1,t)=u(-1,t)=0$? –  Nov 30 '21 at 01:51
  • @user998352 Those two alongside the initial condition $u(x,0) = 1$ for $x \in (-1,1)$ yes. – Rhys Steele Nov 30 '21 at 08:25
  • BTW it would have been better to just ask for further clarification in the comments than to edit your question to include parts of an answer you already received since the latter potentially makes things confusing for other readers – Rhys Steele Nov 30 '21 at 09:11
  • As for $u(x,0)=1$, does $x$ mean initial point? And what does this $u(x,0)=1$ mean physically? Does it mean all heat is gathered at one single point at intial time? –  Nov 30 '21 at 18:06
  • It seems the boundary condition $u(1,t)=u(-1,t)=0$ makes the computation very bad. Almost all computation is based on $(0,L)$ instead of $(-L, L)$. –  Nov 30 '21 at 18:07
  • Sure, I will later put the idea in the comment here. –  Nov 30 '21 at 18:09
  • Would $u(x,0)=\delta(x)$? –  Nov 30 '21 at 19:03
  • Maybe I can use change of variable to transfer the interval from $(-1,1)$ into $(0,2)$ so that the properties of the heat equation is still preserved? –  Nov 30 '21 at 22:16
  • @user998352 It's an initial condition so specifies the initial heat profile i.e. $u(x,0) = 1$ for all $x \in (-1,1)$. As for the $(-L,L)$ vs $(0,L)$ thing, if this is something you are really concerned about, notice that an equivalent statement of the same result can be made by considering the exit time of a BM started from $1$ from the interval $(0,2)$ [or just notice that if $u$ solves the heat equation on $(a,b)$ then $u(\cdot + c, \cdot)$ solves the heat equation on $(a-c, b-c)$ so find the Fourier series on $(0,2)$ and translate it back to $(-1,1)$]. – Rhys Steele Nov 30 '21 at 22:25
  • Yes. I was thinking the way. Thanks! –  Dec 01 '21 at 01:19