No label defined (Q3973612)

[For the entire collection see Zbl 0724.00018.] Consider a diffusion process \(\{x_ t,\;t\geq 0,\;x_ 0=x\}\) with generator \(L\) started in \(D\subset R^ d\) with smooth boundary \(\partial D\). Assume that the exit time from \(D\), \(\tau=\inf\{t\geq 0,\;x_ t\not\in D\}\), be finite almost surely. Let \(v(x)=Eg(x_ \tau)\), where \(g\) is smooth on the boundary, which solves \(Lv=0\) with the boundary condition \(v(x)\mid_{\partial D}=g(x)\). The author uses the concept of quasi-derivative and local martingales associated with diffusion \(\{x_ t\}\) to get the first Sobolev derivative estimates for each \(\xi\in R^ d\), \(v_{(\xi)}=\langle\nabla v,\xi\rangle\), by \[ | v_{(\xi)}(x)|\leq C(|\xi|+(x^ d)^{-1/2}|\xi|^ d) e^{Cx^ d}\sup_{x^ d=0}| g_ x| \text{ (a.e.)} \] for \(D=\{(x^ 1,\dots,x^ d)\mid\;x^ d>0\}\) and under additional assumptions \[ | v_{(\xi)}(x)|\leq C(|\xi|+\psi_{(\xi)}\ln \psi)\sup(| g|+| g_ x|)\text{ (a.e.)}, \] where the constant \(C\) is independent of \(g\), \(x\), \(\xi\).