Asymptotic exponentiality of exit times

Federico Marchetti

Statistics & Probability Letters, 1983, vol. 1, issue 4, 167-170

Abstract: This paper is concerned with sufficient conditions to insure that certain diffusion exit times have, asymptotically, an exponential distribution. We also show that our requirements are satisfied in interesting situations, e.g., diffusions on compact manifolds, and a singular perturbation problem.

Keywords: Diffusions; on; manifolds; exit; times; principal; eigenvalue; asymptotic; behaviour (search for similar items in EconPapers)
Date: 1983
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