Electronic Communications in Probability
- Electron. Commun. Probab.
- Volume 20 (2015), paper no. 80, 3 pp.
On the dependence of the first exit times on the fluctuations of the domain boundary
The paper studies first exit times from domains for diffusion processes and their dependence on variations of the boundary. We establish some robustness of the first exit times with respect to the fluctuations of the boundary. More precisely, we present an estimate of the $L_1$-distance between exit times from two regions via expectations of exit times.
Electron. Commun. Probab., Volume 20 (2015), paper no. 80, 3 pp.
Accepted: 2 November 2015
First available in Project Euclid: 7 June 2016
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 60G40: Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60]
Secondary: 60G17: Sample path properties 60J50: Boundary theory 60J60: Diffusion processes [See also 58J65]
This work is licensed under a Creative Commons Attribution 3.0 License.
Dokuchaev, Nikolai. On the dependence of the first exit times on the fluctuations of the domain boundary. Electron. Commun. Probab. 20 (2015), paper no. 80, 3 pp. doi:10.1214/ECP.v20-4531. https://projecteuclid.org/euclid.ecp/1465321007