The estimates of the mean first exit time from a ball for the \(\alpha \)-stable Ornstein-Uhlenbeck processes (Q2381973)

In this work the author is concerned with estimates of the expected exit times of the Ornstein-Uhlenbeck process driven by a isotropic \(\alpha\) stable process in \(\mathbb{R}^d\) to leave a ball of radius \(r>0\) starting in its center. He distinguishes small and large \(r\) and as there is an exponential drift towards the origin the cases when it is contained inside or outside the ball. The techniques of proof rely strongly on the scaling properties or the process and on previous results on moment estimates for exit times of an \(\alpha\)-stable process to leave an infinite cone. Finally he compares the results with the O-U diffusion process, which gives some insight in the roles of drift and jumps for the exit time.