Moments and distributions of the last exit times for a class of Markov processes

被引：0

作者：

Hu, Wei ^{[1
,2
,3
]}

Zhu, Quanxin ^{[1
,2
,5
]}

Lu, Yi ^{[4
]}

机构：

[1] Nanjing Normal Univ, Sch Math Sci, Nanjing, Jiangsu, Peoples R China

[2] Nanjing Normal Univ, Inst Finance & Stat, Nanjing, Jiangsu, Peoples R China

[3] Jiangsu Univ Technol, Sch Math & Phys, Changzhou, Peoples R China

[4] Jiangsu Univ Technol, Sch Elect & Informat Engn, Changzhou, Peoples R China

[5] Hunan Normal Univ, Coll Math & Comp Sci, Minist Educ China, Key Lab High Performance Comp & Stochast Informat, Changsha, Hunan, Peoples R China

来源：

MATHEMATICS AND COMPUTERS IN SIMULATION | 2019年 / 155卷

基金：

中国国家自然科学基金;

关键词：

Markov process; Last exit time; Moment; Distribution; ORNSTEIN-UHLENBECK TYPE; JOINT DISTRIBUTIONS; BROWNIAN-MOTION; NETWORKS;

D O I：

10.1016/j.matcom.2017.12.010

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

In this paper, we consider some related questions to last exit time of general Markov processes. An estimate for the distribution of the last exit time is derived. An equivalent characterization for the finiteness of the k-moments of the last exit time is obtained. Finally, some examples are provided to show the significance and usefulness of our results. (C) 2018 International Association for Mathematics and Computers in Simulation (IMACS). Published by Elsevier B.V. All rights reserved.

引用

页码：146 / 153

页数：8

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