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The characterization of equilibrium potentials and last exit distributions for elliptic diffusion processes

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  • Li, Bo
  • Liu, Luqin

Abstract

ln this paper, we give a characterization of equilibrium potentials for elliptic diffusion processes, and use this result to prove a moderate estimate for the distribution of last exit times and the sufficient and necessary condition for the existence of the k-moments of the last exit times.

Suggested Citation

  • Li, Bo & Liu, Luqin, 2004. "The characterization of equilibrium potentials and last exit distributions for elliptic diffusion processes," Statistics & Probability Letters, Elsevier, vol. 70(2), pages 155-169, November.
    • Handle: RePEc:eee:stapro:v:70:y:2004:i:2:p:155-169
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    Cited by:

    1. Yongsong Qin & Yinghua Li & Weizhen Yang & Qingzhu Lei, 2011. "Confidence intervals for nonparametric regression functions under negatively associated errors," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 23(3), pages 645-659.

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