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Let $\Omega\subset \mathbb R^d$ be a bounded open (and connected) set. Consider $E\subset \Omega$ and $x\in \Omega\setminus E$. Denote by $W^x$ the standard Brownian motion starting at $x$, i.e. $W^x_0=x$. Define respectively

$$\tau_+:=\{t\ge 0: W^x_t\in \partial \Omega\} \quad \mbox{and}\quad \tau_-:=\{t\ge 0: W^x_t\in \partial E\}.$$

Here $W^x$ is used to model some particle which escapes successfully if $\tau_+>\tau-$ and is trapped if $\tau_+<\tau-$. Using PDE method we may compute the probability $\mathbb P[\tau_+>\tau_-]$. My question is as follows: If $E\subset \Omega$ is some random set, is there any reference on the computation of the above probability?

PS: An example is to take $E=B(Z,R):=\{y\in\mathbb R^d: |y-Z|<R\}$, where $Z$ uniformly distributed in $\Omega$ and conditioning on $Z$, $R$ is uniformly distributed in $[0,d(Z)]$ where $d(Z):=\{|y-Z|: y\in\partial \Omega\}$. An obvious generalisation is to consider a finite (random) number of traps $E_1, E_2,\ldots$

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  • $\begingroup$ 1)As long as the set $E$ is independently distributed of the Brownian motion, you can just condition on it and return to the deterministic setting and get some formula. 2)Then of course you have to integrate that formula you get wrt to the randomness of the set E. Are you saying that the second step can be tricky? $\endgroup$ Commented Jul 1, 2023 at 3:55

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