Regularity of stopping times of diffusion processes in Besov spaces
Volume 151 / 2002
Studia Mathematica 151 (2002), 23-29
MSC: 60H07, 60G05, 46E35.
DOI: 10.4064/sm151-1-2
Abstract
We prove that the exit times of diffusion processes from a bounded open set ${\mit \Omega } $ almost surely belong to the Besov space $B^{\alpha }_{p,q}({\mit \Omega } )$ provided that $p\alpha \! <\! 1$ and $1 \leq q\! < \infty $.
