Variational formulas for the exit time of Hunt processes generated by semi-Dirichlet forms

Lu-Jing Huang, Kyung-Youn Kim, Yong-Hua Mao and Tao Wang

Stochastic Processes and their Applications, 2022, vol. 148, issue C, 380-399

Abstract: Variational formulas for the Laplace transform of the exit time from an open set of a Hunt process generated by a regular lower bounded semi-Dirichlet form are established. While for symmetric Markov processes, variational formulas are derived for the exponential moments of the exit time. As applications, we provide some comparison theorems and quantitative relations of the exponential moments and Poincaré inequalities.

Keywords: Variational formula; Semi-Dirichlet form; Exit time; Exponential moment; Comparison theorem; Poincaré inequality (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spa.2022.03.005

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