{"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":0,"journal":{"name":"","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1007/s11464-021-0094-7","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","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.
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