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On the Distribution Density of the First Exit Point of a Diffusion Process form a Small Neighborhood of Its Initial Position

✍ Scribed by Harlamov, B. P.

Book ID
118225997
Publisher
Society for Industrial and Applied Mathematics
Year
2001
Tongue
English
Weight
204 KB
Volume
45
Category
Article
ISSN
0040-585X

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πŸ“œ SIMILAR VOLUMES

On asymptotic independence of the exit m
On asymptotic independence of the exit moment and position from a small domain for diffusion processes
✍ 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