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Bounds on exponential moments of hitting times for reflected processes on the positive orthant

✍ Scribed by Chihoon Lee

Book ID
116890468
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
266 KB
Volume
82
Category
Article
ISSN
0167-7152

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πŸ“œ SIMILAR VOLUMES

On asymptotic independence of the exit m
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✍ Vitalii A. Gasanenko πŸ“‚ Article πŸ“… 2003 πŸ› SP Versita 🌐 English βš– 214 KB

## Abstract If ΞΎ(t) is the solution of homogeneous SDE in R m, and T βˆƒ is the first exit moment of the process from a small domain D βˆƒ, then the total expansion for the following functional showing independence of the exit time and exit place is $$Eexp( - \lambda T\_\varepsilon )f(\frac{{\xi (T\_\v