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