Variational principles for the exit time of non-symmetric diffusions

2020/06/30 by Lu‐Jing Huang, Huang, Lu-Jing, Kyung-Youn Kim +3 · 1 citation
Computer Science · Mathematics · Economics, Econometrics and Finance · #Advanced Mathematical Modeling in Engineering #Nonlinear Partial Differential Equations #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2006.16446

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.

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