AN ESTIMATE ON THE DISTRIBUTION AND MOMENTS OF THE LAST EXIT TIME OF AN ELLIPTIC DIFFUSION PROCESS

doi:10.1016/S0252-9602(06)60090-8

数学物理学报(英文版)

AN ESTIMATE ON THE DISTRIBUTION AND MOMENTS OF THE LAST EXIT TIME OF AN ELLIPTIC DIFFUSION PROCESS

李波; 刘禄勤

华中师范大学数学与统计学院, 武汉 430079 武汉大学数学与统计学院, 武汉 430072

收稿日期:2004-08-14 修回日期:1900-01-01 出版日期:2006-10-20 发布日期:2006-10-20
通讯作者: 李波
基金资助:
Research supported in part by Tianyuan Fund ofr Mathematics of NSFC (10526021) and A Grant from Ministry of Education

AN ESTIMATE ON THE DISTRIBUTION AND MOMENTS OF THE LAST EXIT TIME OF AN ELLIPTIC DIFFUSION PROCESS

Li Bo; Liu Luqin

School of Mathematics and Statistics, Huazhong Normal University, Wuhan 430079, ChinaSchool of Mathematics and Statistics, Wuhan University, Wuhan 430072, China

Received:2004-08-14 Revised:1900-01-01 Online:2006-10-20 Published:2006-10-20
Contact: Li Bo

摘要/Abstract

摘要：

Let L_B be the last exit time from a compact set B of an elliptic diffusion process X. A moderate estimate for the distribution of L_B is obtained, and the sufficient and necessary condition for E^x (L_B^k)<[infinty] is proved.

关键词: Last exit time, moment, transience, distribution, diffusion process

Abstract:

Key words: Last exit time, moment, transience, distribution, diffusion process

中图分类号:

60J25

李波; 刘禄勤. AN ESTIMATE ON THE DISTRIBUTION AND MOMENTS OF THE LAST EXIT TIME OF AN ELLIPTIC DIFFUSION PROCESS[J]. 数学物理学报(英文版), 2006, 26(4): 639-645.

Li Bo; Liu Luqin. AN ESTIMATE ON THE DISTRIBUTION AND MOMENTS OF THE LAST EXIT TIME OF AN ELLIPTIC DIFFUSION PROCESS[J]. Acta mathematica scientia,Series B, 2006, 26(4): 639-645.

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AN ESTIMATE ON THE DISTRIBUTION AND MOMENTS OF THE LAST EXIT TIME OF AN ELLIPTIC DIFFUSION PROCESS

AN ESTIMATE ON THE DISTRIBUTION AND MOMENTS OF THE LAST EXIT TIME OF AN ELLIPTIC DIFFUSION PROCESS

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