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Properties of kagi and renko moments for homogeneous diffusion processes

✍ Scribed by M. A. Spiryaev

Book ID
110150080
Publisher
SP MAIK Nauka/Interperiodica
Year
2012
Tongue
English
Weight
717 KB
Volume
91
Category
Article
ISSN
0001-4346

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📜 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 📂 Article 📅 2003 🏛 SP Versita 🌐 English ⚖ 214 KB

## Abstract If ξ(t) is the solution of homogeneous SDE in R m, and T ∃ is the first exit moment of the process from a small domain D ∃, 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