Exit-problem for a class of non-Markov processes with path dependency

Ashot Aleksian, Aline Kurtzmann, Julian Tugaut

We study the exit-time of a self-interacting diffusion from an open domain $G\subset {\mathbb{R}}^d$. In particular, we consider the equation $d{X_t} = - \left( \nabla V(X_t) + \fra…