On Decomposition of the Last Passage Time of Diffusions
From MaRDI portal
Abstract: For a regular transient diffusion, we provide a decomposition of its last passage time to a certain state . This is accomplished by transforming the original diffusion into two diffusions using the occupation time of the area above and below . Based on these two processes, the decomposition formula of the Laplace transform of the last passage time is derived explicitly in a simple form in terms of Green functions. This formula may be used for further investigations of diffusions with switching parameters. As one example, we demonstrate an application to a diffusion with two-valued drift.
This page was built for publication: On Decomposition of the Last Passage Time of Diffusions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6412817)
