For a point x ∈ Rn, let Px denote the law of X given initial datum X0 = x, and let Ex denote expectation with respect to Px.
Let A be the
compactly-supported
C2 (twice differentiable with continuous second derivative) functions f : Rn → R as
or, equivalently,
Let τ be a stopping time with Ex[τ] < +∞, and let f be C2 with compact support. Then Dynkin's formula holds:
In fact, if τ is the first exit time for a bounded setB ⊂ Rn with Ex[τ] < +∞, then Dynkin's formula holds for all C2 functions f, without the assumption of compact support.
Example
Dynkin's formula can be used to find the expected first exit time τK of
closed ball
which, when B starts at a point a in the interior of K, is given by
Choose an
Laplacian operator
. Therefore, by Dynkin's formula,
Hence, for any j,
Now let j → +∞ to conclude that τK = limj→+∞σj < +∞ almost surely and
as claimed.
References
Dynkin, Eugene B.; trans. J. Fabius; V. Greenberg; A. Maitra; G. Majone (1965). Markov processes. Vols. I, II. Die Grundlehren der Mathematischen Wissenschaften, Bände 121. New York: Academic Press Inc. (See Vol. I, p. 133)