Hostname: page-component-78c5997874-lj6df Total loading time: 0 Render date: 2024-11-05T12:27:37.066Z Has data issue: false hasContentIssue false
  • English
  • Français

A conditional expectation formula for diffusion processes

Published online by Cambridge University Press:  14 July 2016

Knut K. Aase
Knut K. Aase*
Affiliation:
Agder Regional College, Kristiansand S, Norway
*
∗Now at University of California, Berkeley.
Get access Rights & Permissions [Opens in a new window]

Abstract

In some applications of diffusion theory it is of interest to study the expected time of the first exit from an interval given that a specified boundary will be the first exitpoint. This problem is considered here for a regular Feller process, and applications are given.

Keywords

FELLER PROCESSCONDITIONAL EXPECTATIONDIFFUSION IN GENETICSDIFFUSION IN ECONOMICS
Type
Short Communications
Information
Journal of Applied Probability , Volume 14 , Issue 3 , September 1977 , pp. 626 - 629
Copyright
Copyright © Applied Probability Trust 1977 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Aase, K. K. (1977) Conditioned moments of time to fixation. J. Math. Biol. 3.Google Scholar
Breiman, L. (1968) Probability. Addison-Wesley, Waltham, Mass.Google Scholar
Dynkin, E. B. (1965) Markov Processes , Vol. 2. Springer-Verlag.Google Scholar
Ewens, W. J. (1973) Conditional diffusion processes in population genetics. Theoret. Pop. Biol. 4, 21–30.Google Scholar
Kimura, M. and Otha, T. (1969) The average number of generations until fixation of a mutant gene in a finite population. Genetics 61, 763–771.Google Scholar
Narain, P. (1974) The conditional diffusion equation and its use in population genetics. J. R. Statist. Soc. B 36, 258–265.Google Scholar
Tintner, G. and Senegupta, J. K. (1972) Stochastic Economics. Academic Press, New York.Google Scholar