{"title":"Joint Distributions Concerning Last Exit Time for Diffusion Processes","authors":"Ye Chen, Yingqiu Li","doi":"10.1007/s11464-021-0094-7","DOIUrl":null,"url":null,"abstract":"Adopting a Poisson approach in Li and Zhou [Statist. Probab. Lett., 2014, 94: 48–55], for one-dimensional diffusion processes, we consider some joint distributions, including the last exit time from a semi-infinite interval, the value of the process at the last exit time and the associated occupation time. Our results are expressed in term of solutions to the differential equations associated with the diffusion generator.","PeriodicalId":50429,"journal":{"name":"Frontiers of Mathematics in China","volume":"29 1","pages":"0"},"PeriodicalIF":0.8000,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Frontiers of Mathematics in China","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1007/s11464-021-0094-7","RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"MATHEMATICS","Score":null,"Total":0}
引用次数: 0
Abstract
Adopting a Poisson approach in Li and Zhou [Statist. Probab. Lett., 2014, 94: 48–55], for one-dimensional diffusion processes, we consider some joint distributions, including the last exit time from a semi-infinite interval, the value of the process at the last exit time and the associated occupation time. Our results are expressed in term of solutions to the differential equations associated with the diffusion generator.
期刊介绍：
Frontiers of Mathematics in China provides a forum for a broad blend of peer-reviewed scholarly papers in order to promote rapid communication of mathematical developments. It reflects the enormous advances that are currently being made in the field of mathematics. The subject areas featured include all main branches of mathematics, both pure and applied. In addition to core areas (such as geometry, algebra, topology, number theory, real and complex function theory, functional analysis, probability theory, combinatorics and graph theory, dynamical systems and differential equations), applied areas (such as statistics, computational mathematics, numerical analysis, mathematical biology, mathematical finance and the like) will also be selected. The journal especially encourages papers in developing and promising fields as well as papers showing the interaction between different areas of mathematics, or the interaction between mathematics and science and engineering.
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