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A gravitational potential well (aka gravitational well or gravity well) is a region within a gravitational field with less gravitational potential energy than surrounding regions, i.e., a dip in its gravitational potential field. (A potential field is one means of describing a physical field that pulls or pushes; mathematically, its gradient is a vector describing the force.) Such a dip surrounds a massive object (or group of massive objects). There is such a well surrounding Earth, its dip dropping below the potential level due to the larger such well surrounding the Sun, which is similarly embedded in a larger one surrounding the Milky Way. The Moon has its own such well, which is within that of Earth. An object's Hill sphere roughly delineates its gravitational potential well.
A gravitational potential well is a specific type of potential well, a dip in any kind of potential energy field. For example, a region of an electric field with a particular polarity is a potential well for particles of the other polarity, e.g., a proton defines a potential well for electrons. The dip in the surface of an astronomical object (e.g., a valley) forms a particular type of gravitational potential well for objects that are confined to its surface: energy is required to move something from the bottom of the dip to the rim.