Moments and distributions of the last exit times for a class of Markov processes

Wei Hu, Quanxin Zhu and Yi Lu

Mathematics and Computers in Simulation (MATCOM), 2019, vol. 155, issue C, 146-153

Abstract: In this paper, we consider some related questions to last exit time of general Markov processes. An estimate for the distribution of the last exit time is derived. An equivalent characterization for the finiteness of the k-moments of the last exit time is obtained. Finally, some examples are provided to show the significance and usefulness of our results.

Keywords: Markov process; Last exit time; Moment; Distribution (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:155:y:2019:i:c:p:146-153

DOI: 10.1016/j.matcom.2017.12.010

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