First time to exit of a continuous Itô process: general moment estimates and \({\mathbf{L}}_{1}\)-convergence rate for discrete time approximations

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

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