Variational principles for average exit time moments for diffusions in Euclidean space
Kimberly K. J. Kinateder, Patrick McDonald · Proceedings of the American Mathematical Society · 1999
Let D D be a smoothly bounded domain in Euclidean space and let X t X_{t} be a diffusion 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 D of a particle driven by X t , X_{t}, where the average is taken over all starting points in D . D.