Acta mathematica scientia,Series B

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

Li Bo; Liu Luqin   

  1. 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

Abstract:

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

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

CLC Number: 

  • 60J25
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