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1Department of Mathematics, Università di Salerno, via Giovanni Paolo Ⅱ, 132 - 84084 Fisciano (SA), Italy.
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This paper is concerned with elliptic equations satisfied by the mean first exit time of a stochastic process and higher moments. We prove an estimate for all moments of the first exit time in a cylindrical domain, using viscosity solutions. As a further result, we show the existence and the uniqueness of a more general fully nonlinear Dirichlet problem for partial trace equations, which can be associated to nonlinear diffusion.
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