On the dependence of the first exit times on the fluctuations of the domain boundary
The paper studies first exit times from domains for diffusion processes and their dependence on variations of the boundary. We establish some robustness of the first exit times with respect to the fluctuations of the boundary. More precisely, we present an estimate of the L_1-distance between exit...
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| Format: | Journal Article |
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Institute of Mathematical Statistics and the Bernoulli Society
2015
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| Online Access: | http://purl.org/au-research/grants/arc/DP120100928 http://hdl.handle.net/20.500.11937/31872 |
| _version_ | 1848753504708984832 |
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| author | Dokuchaev, Nikolai |
| author_facet | Dokuchaev, Nikolai |
| author_sort | Dokuchaev, Nikolai |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | The paper studies first exit times from domains for diffusion processes and their dependence on variations of the boundary. We establish some robustness of the first exit times with respect to the fluctuations of the boundary. More precisely, we present an estimate of the L_1-distance between exit times from two regions via expectations of exit times. |
| first_indexed | 2025-11-14T08:25:34Z |
| format | Journal Article |
| id | curtin-20.500.11937-31872 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:25:34Z |
| publishDate | 2015 |
| publisher | Institute of Mathematical Statistics and the Bernoulli Society |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-318722017-09-13T15:18:09Z On the dependence of the first exit times on the fluctuations of the domain boundary Dokuchaev, Nikolai diffusion processes first exit times variable boundaries The paper studies first exit times from domains for diffusion processes and their dependence on variations of the boundary. We establish some robustness of the first exit times with respect to the fluctuations of the boundary. More precisely, we present an estimate of the L_1-distance between exit times from two regions via expectations of exit times. 2015 Journal Article http://hdl.handle.net/20.500.11937/31872 10.1214/ECP.v20-4531 http://purl.org/au-research/grants/arc/DP120100928 Institute of Mathematical Statistics and the Bernoulli Society fulltext |
| spellingShingle | diffusion processes first exit times variable boundaries Dokuchaev, Nikolai On the dependence of the first exit times on the fluctuations of the domain boundary |
| title | On the dependence of the first exit times on the fluctuations of the domain boundary |
| title_full | On the dependence of the first exit times on the fluctuations of the domain boundary |
| title_fullStr | On the dependence of the first exit times on the fluctuations of the domain boundary |
| title_full_unstemmed | On the dependence of the first exit times on the fluctuations of the domain boundary |
| title_short | On the dependence of the first exit times on the fluctuations of the domain boundary |
| title_sort | on the dependence of the first exit times on the fluctuations of the domain boundary |
| topic | diffusion processes first exit times variable boundaries |
| url | http://purl.org/au-research/grants/arc/DP120100928 http://hdl.handle.net/20.500.11937/31872 |