Variational principles for the exit time of non-symmetric diffusions

MaRDI QIDQ6504006arXivFDO

Authors Lu-Jing Huang, Kyung Youn Kim, Yonghua Mao

Published in arXiv

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Abstract: In this paper we develop some new variational principles for the exit time from a domain of non-symmetric diffusions in $R^d$. As applications, we give some comparison theorems and monotonicity law between different diffusions.

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