Variational principles for average exit time moments for diffusions in Euclidean space

Kinateder, Kimberly; McDonald, Patrick

doi:10.1090/S0002-9939-99-04843-1

Variational principles for average exit time moments for diffusions in Euclidean space
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by Kimberly K. J. Kinateder and Patrick McDonald PDF

Proc. Amer. Math. Soc. 127 (1999), 2767-2772 Request permission

Abstract:

Let $D$ be a smoothly bounded domain in Euclidean space and let $X_{t}$ be a diffusion in Euclidean space. For a class of diffusions, we develop variational principles which characterize the average of the moments of the exit time from $D$ of a particle driven by $X_{t},$ where the average is taken over all starting points in $D.$

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