Variational Principles for the Exit Time of Non-Symmetric Diffusions

Lu‐Jing Huang, Kyung-Youn Kim, Yong-Hua Mao

Type: Preprint

Publication Date: 2023-01-01

Citations: 0

DOI: https://doi.org/10.2139/ssrn.4585326

Abstract

In this paper we develop some new variational principles for the exit time of non-symmetric diffusions from a domain. As applications, we give some comparison theorems and monotonicity law between different diffusions.

Locations

arXiv (Cornell University) - View - PDF

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+	Positive Harmonic Functions and Diffusion	1995	Ross G. Pinsky
+	Functional inequalities, Markov semigroups and spectral theory	2005	风雨王
+	Reversible Markov Chains and Random Walks on Graphs	2014	David Aldous James Allen Fill
+	Variational principles for average exit time moments for diffusions in Euclidean space	1999	Kimberly Kinateder Patrick McDonald
+ PDF Chat	Spectral gaps and exponential integrability of hitting times for linear diffusions	2011	Oleg Loukianov Dasha Loukianova Shiqi Song
+	A result on the first-passage time of an Ornstein–Uhlenbeck process	2007	Susanne Ditlevsen
+	Exit Times, Moment Problems and Comparison Theorems	2012	Patrick McDonald
+ PDF Chat	Accelerating Gaussian Diffusions	1993	Chii-Ruey Hwang Shu-Yin Hwang-Ma Shuenn‐Jyi Sheu
+	On Positive Solutions of the Equation $\mathfrak{A}U + Vu = 0$	1959	R. Z. Khas’minskiĭ
+	Exit Times and Poisson Kernels of the Ornstein–Uhlenbeck Diffusion	2008	Piotr Graczyk Tomasz Jakubowski