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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.
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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

Information

Type
Short Communications
Information
Journal of Applied Probability , Volume 14 , Issue 3 , September 1977 , pp. 626 - 629
Copyright
Copyright © Applied Probability Trust 1977 

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References

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