Electronic Communications in Probability

On the dependence of the first exit times on the fluctuations of the domain boundary

Nikolai Dokuchaev

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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.

Article information

Electron. Commun. Probab., Volume 20 (2015), paper no. 80, 3 pp.

Accepted: 2 November 2015
First available in Project Euclid: 7 June 2016

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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]

diffusion processes first exit times variable boundaries

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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

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