The lifetimes of conditioned diffusion processes
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In this nicely written paper, the author proves the following result: Let h be positive, L-harmonic in a smooth domain D, where L is an elliptic operator. Then \[ c_ 1P_ x[\tau_ D>t]\leq P^ h_ x[\tau_ D>t]\leq c_ 2P_ x[\tau_ D>t]. \] Here \(\tau_ D\) is the first exit time from D, \(P_ x\) and \(P^ h_ x\) are the probabilities for the L- diffusion and the corresponding h-path process, respectively. This result leads easily to the conditional gauge theorem.
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