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A conditional expectation formula for diffusion processes

Published online by Cambridge University Press:  14 July 2016

Knut K. Aase*
Affiliation:
Agder Regional College, Kristiansand S, Norway
*
Now at University of California, Berkeley.

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.

Type
Short Communications
Copyright
Copyright © Applied Probability Trust 1977 

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References

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