Characteristic Operator of a Diffusion Process

Semi-Markov processes of diffusion type in the d-dimensional space (d > 1) are considered. We assume that the transition generating function of such a process satisfies a second-order differential equation of elliptic type. We apply methods of differential equations theory, especially of the theory of the Dirichlet problem, to study the transition generating function for a small neighborhood of the initial point of the process. Asymptotic expansions in the small scale parameter are obtained both for the first exit point distribution density and for the first exit time expectation for the case where the trajectory of the process leaves a small neighborhood of the initial point. We prove the existence of the Dynkin characteristic operator determined by a decreasing sequence of neighborhoods. Bibliography: 9 titles.__________Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 293, 2003, pp. 226–251.