What did I need is to take a difference between discrete time approximations of the first exit time in two different points t , x. I used approximation of the first exit time in the form. Then the difference will be reduced to the difference of two products of indicators.
[$] \tau_{ t x } ( \lambda) = \sum_{k = 1}^{n} t_k \, I_{\bar{D}} \, ( \xi ( t_k ; t , x )) \prod_{j = 1}^{k - 1} I_{D} \, ( \xi ( t_j ; t , x )) [$]
Here D is an open domain and t j are a fixed partition of the [ t , T ].