Doob's conditioned diffusions and their lifetimes (Q1105287)

Let X be a diffusion in R d with a strictly elliptic generator. The process X is killed when it leaves a bounded domain, G, having \(C^{\infty}\)-boundary. Let h be a positive harmonic function of X on G, and consider the corresponding h-transform, Z h, of the killed process. Making use of the I-function of Donsker and Varadhan, it is proved that the tail of the distribution of the lifetime of Z h decays exponentially with the same exponent for every h. This is a generalization of a result for diffusions with self-adjoint generator in which case the decay rate is given by the principal eigenvalue of the corresponding Dirichlet- problem. In the second part of the paper, a similar result is proved for a Brownian motion. Here it is assumed that the domain G is bounded and its boundary has the exterior cone-property. This generalizes known results for domains with Lipschitz boundary.