On First Exit Times for Homogeneous Diffusion Processes

DOI10.1137/1131064zbMath0623.60101arXivmath/0102099OpenAlexW2005876468MaRDI QIDQ3761433

Nikolai G. Dokuchaev

Publication date: 1987

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0102099

zbMATH Keywords

Dirichlet problemupper estimatefirst exit timeItô equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

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On Differentiation of Functionals Containing the First Exit of a Diffusion Process from a Domain

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