Smoothness of stopping times of diffusion processes (Q1569002)

Consider the first exit time \(\tau\) of a smooth bounded open set for an elliptic diffusion. The aim is to study the smoothness of this stopping time in the sense of the stochastic calculus of variations. To this end, the authors use two types of fractional Sobolev spaces \(D_\alpha^p\) and \(E_\alpha^p\) (\(0<\alpha<1\), \(p>1\)) which are close to one another, and they prove that the truncated time \(\tau\wedge T\) is in \(D_\alpha^p\) and \(E_\alpha^p\) as soon as \(p\alpha<1\). In the case of the Brownian motion, the result is extended to the unbounded time \(\tau\) (under a condition on the dimension). Finally, they check the optimality of the result by giving a counterexample when \(p\alpha>1\).