Joint distributions concerning last exit time for diffusion processes

DOI10.1007/S11464-021-0094-7MaRDI QIDQ6082877zbMATH OpenOpenAlexFDO

Authors Ye Chen, Yingqiu Li

Publication date 7 December 2023

Published in Frontiers of Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11464-021-0094-7

zbMATH Keywords

Laplace transformlast exit timeoccupation measurescalar diffusion

Mathematics Subject Classification ID

Sample path properties (60G17) Diffusion processes (60J60)

Review text

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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Cites work

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• Exit identities for Lévy processes observed at Poisson arrival times
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• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• Last Exit Before an Exponential Time for Spectrally Negative Lévy Processes
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• On pre-exit joint occupation times for spectrally negative Lévy processes
• On the last exit times for spectrally negative Lévy processes
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Cited in

(3)

• The characterization of equilibrium potentials and last exit distributions for elliptic diffusion processes
• Moments and distributions of the last exit times for a class of Markov processes
• The joint Laplace transforms for killed diffusion occupation times

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