Joint distributions concerning last exit time for diffusion processes (Q6082877)
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scientific article; zbMATH DE number 7773876
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| English | Joint distributions concerning last exit time for diffusion processes |
scientific article; zbMATH DE number 7773876 |
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Joint distributions concerning last exit time for diffusion processes (English)
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7 December 2023
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For a scalar diffusion, the joint Laplace transform for the last exit time from a semi-infinite interval before or at the tick of an exponential clock, the value of the process at this time, and the occupation measure of the interval till that time is computed. This is done for semi-infinite intervals bounded from below or above.
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scalar diffusion
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last exit time
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occupation measure
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Laplace transform
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0.8018725514411926
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0.8018649816513062
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0.7924472689628601
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0.7918655872344971
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0.7916526198387146
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