On the dependence of the first exit times on the fluctuations of the domain boundary

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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Bibliographic Details
Main Author: Dokuchaev, Nikolai
Format: Journal Article
Published: Institute of Mathematical Statistics and the Bernoulli Society 2015
Subjects:
diffusion processes
first exit times
variable boundaries
Online Access:http://purl.org/au-research/grants/arc/DP120100928
http://hdl.handle.net/20.500.11937/31872

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