On First Exit Times for Homogeneous Diffusion Processes

DOI10.1137/1131064MaRDI QIDQ3761433zbMATH OpenOpenAlexFDO

Authors Nikolai Dokuchaev

Publication date 1987

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0102099

zbMATH Keywords

Dirichlet problemfirst exit timeItô equationupper estimate

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Abstract: It is given an effective upper estimate of expectation of |T_1-T_2|, where T_1 and T_2 are the first exit times from a region for two vector diffusion processes.

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