Acta mathematica scientia, Series B >
AN ESTIMATE ON THE DISTRIBUTION AND MOMENTS OF THE LAST EXIT TIME OF AN ELLIPTIC DIFFUSION PROCESS
Received date: 2004-08-14
Revised date: 1900-01-01
Online published: 2006-10-20
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
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 . DOI: 10.1016/S0252-9602(06)60090-8
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