Exit times for elliptic diffusions and BMO

Abstract

In 1948 P. Lévy formulated the following theorem: If U is an open subset of the complex plane and f:U → ℂ is a nonconstant analytic function, then f maps a 2-dimensional Brownian motion Bt (up to the exit time from U) into a time changed 2-dimensional Brownian motion. A rigorous proof of this result first appeared in McKean [22]. This theorem has been used by many authors to solve problems about analytic functions by reducing them to problems about Brownian motion where the arguments are often more transparent. The survey paper [8] is a good reference for some of these applications. Lévy's theorem has been generalized, first by Bernard, Campbell, and Davie [5], and subsequently by Csink and Øksendal [7]. In Section 1 of this note we use these generalizations of Lévy's theorem to extend some results about BMO functions in the unit disc to harmonic morphisms in ℝn to holomorphic functions in ℂn and to analytic functions on Riemann surfaces. In Section 2, we characterize the domains in ℝn which have the property that the expected exit time of elliptic diffusions is uniformly bounded as a function of the starting point. This extends a result of Hayman and Pommerenke [15], and Stegenga [24] about BMO domains in the complex plane.