First time to exit of a continuous Itô process: General moment estimates and ${\mathrm{L}}_{1}$-convergence rate for discrete time approximations

Abstract

We establish general moment estimates for the discrete and continuous exit times of a general Itô process in terms of the distance to the boundary. These estimates serve as intermediate steps to obtain strong convergence results for the approximation of a continuous exit time by a discrete counterpart, computed on a grid. In particular, we prove that the discrete exit time of the Euler scheme of a diffusion converges in the ${\mathbf{L}}_{1}$ norm with an order $1/2$ with respect to the mesh size. This rate is optimal.