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Estimates for distances between first exit times via parabolic equations in unbounded cylinders
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  • Published: 25 March 2004

Estimates for distances between first exit times via parabolic equations in unbounded cylinders

  • Nikolai Dokuchaev1 

Probability Theory and Related Fields volume 129, pages 290–314 (2004)Cite this article

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Abstract.

First exit times and their dependence on variations of parameters are studied for diffusion processes with non-stationary coefficients. Estimates of L p -distances and some other distances between two exit times are obtained. These estimates are based on some new prior estimates for solutions of parabolic Kolmogorov’s equations with infinite horizon without Cauchy conditions.

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Authors and Affiliations

  1. Department of Mathematics and Statistics, University of Limerick, Ireland

    Nikolai Dokuchaev

Authors
  1. Nikolai Dokuchaev
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Correspondence to Nikolai Dokuchaev.

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Mathematics Subject Classifications (2000): 60G17, 60G40, 60J50, 60J60, 60J65

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Dokuchaev, N. Estimates for distances between first exit times via parabolic equations in unbounded cylinders. Probab. Theory Relat. Fields 129, 290–314 (2004). https://doi.org/10.1007/s00440-004-0341-3

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  • Received: 05 June 2003

  • Revised: 14 January 2004

  • Published: 25 March 2004

  • Issue Date: June 2004

  • DOI: https://doi.org/10.1007/s00440-004-0341-3

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Keywords

  • Diffusion processes
  • First exit times
  • Parabolic Kolmogorov’s equations
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