The characterization of equilibrium potentials and last exit distributions for elliptic diffusion processes

Bo Li and Luqin Liu

Statistics & Probability Letters, 2004, vol. 70, issue 2, 155-169

Abstract: ln this paper, we give a characterization of equilibrium potentials for elliptic diffusion processes, and use this result to prove a moderate estimate for the distribution of last exit times and the sufficient and necessary condition for the existence of the k-moments of the last exit times.

Keywords: Equilibrium; potential; Last; exit; time; Moment; Diffusion; process (search for similar items in EconPapers)
Date: 2004
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(04)00235-4
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:70:y:2004:i:2:p:155-169

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().