Previous article Next article On First Exit Times for Homogeneous Diffusion ProcessesN. G. DokuchaevN. G. Dokuchaevhttps://doi.org/10.1137/1131064PDFBibTexSections ToolsAdd to favoritesExport CitationTrack CitationsEmail SectionsAbout"On First Exit Times for Homogeneous Diffusion Processes." Theory of Probability & Its Applications, 31(3), pp. 497–498[1] I. I. Gikhman and , A. V. Skorokhod, The theory of stochastic processes. II, Springer-Verlag, New York, 1975vii+441 51:11656 0305.60027 I. I. Gikhman and , A. V. Skorokhod, The theory of stochastic processes. III, Springer-Verlag, Berlin, 1979iii+387 58:31323b 0404.60061 CrossrefGoogle Scholar[2] A. D. Vent-tsel' and , M. I. Freidlin, Fluctuations in Dynamic Systems under the Action of Small Random Perturbations, Nauka, Moscow, 1979, (In Russian.) Google Scholar[3] N. G. Dokuchaev, On first exit times for diffusion processes, Vestnik Leningrad Univ. Math., Mech. Astron., 1 (1984), 110–112, (In Russian.) 0539.60080 Google Scholar[4] N. G. Dokuchaev, Optimal program control of a stochastic process cutting off on the boundary of a region, Dep. VINITI No. 4705–83, 46 pp. (In Russian.) Google Scholar[5] N. G. Dokuchaev, On the closeness of the first exit times for diffusion processes, Dep. VINITI No. 5398–84, 8 pp. (In Russian.) Google Scholar Previous article Next article FiguresRelatedReferencesCited ByDetails On Differentiation of Functionals Containing the First Exit of a Diffusion Process from a DomainTheory of Probability & Its Applications, Vol. 59, No. 1 | 25 March 2015AbstractPDF (175 KB)Estimates for distances between first exit times via parabolic equations in unbounded cylindersProbability Theory and Related Fields, Vol. 129, No. 2 | 25 March 2004 Cross Ref Volume 31, Issue 3| 1987Theory of Probability & Its Applications History Submitted:10 October 1984Published online:28 July 2006 InformationCopyright © 1987 © Society for Industrial and Applied MathematicsPDF Download Article & Publication DataArticle DOI:10.1137/1131064Article page range:pp. 497-498ISSN (print):0040-585XISSN (online):1095-7219Publisher:Society for Industrial and Applied Mathematics