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

Authors
Kinateder, KKJ McDonald, P
Citation
Kkj. Kinateder et P. Mcdonald, Variational principles for average exit time moments for diffusions in Euclidean space, P AM MATH S, 127(9), 1999, pp. 2767-2772
Citations number
6
Categorie Soggetti
Mathematics
Journal title
PROCEEDINGS OF THE AMERICAN MATHEMATICAL SOCIETY
ISSN journal
00029939 → ACNP
Volume
127
Issue
9
Year of publication
1999
Pages
2767 - 2772
Database
ISI
SICI code
0002-9939(199909)127:9<2767:VPFAET>2.0.ZU;2-B
Abstract
Let D be a smoothly bounded domain in Euclidean space and let X-t be a diff usion 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 overall star ting points in D.