A variation on the Donsker–Varadhan inequality for the principal eigenvalue

The purpose of this short paper is to give a variation on the classical Donsker–Varadhan inequality, which bounds the first eigenvalue of a second-order elliptic operator on a bounded domain Ω by the largest mean first exit time of the associated drift–diffusion process via λ 1 ≥ 1 sup x ∈ Ω E x τ Ω c . Instead of looking at the mean of the first exit time, we study quantiles: let d p , ∂ Ω : Ω → R ≥ 0 be the smallest time t such that the likelihood of exiting within that time is p , then λ 1 ≥ log ( 1 / p ) sup x ∈ Ω d p , ∂ Ω ( x ) . Moreover, as p → 0 , this lower bound converges to λ 1 .