Let D be a domain in Rd satisfying the exterior sphere condition. Consider a diffusion process X(T, x) starting from x∈D. Define τx=inf{t≥0: X(t, x)∉D}
We shall show, for any p≥1 that (1) when d = 1 and the diffusion is non-degenerate, there holds: E[|τx−τy|p]≤CP|x−y|; (2) In general case, ∀T>0, there holds: E[|τx⋀T−τy⋀T|p]≤CT, p|x−y|. The result is optimal.