The characterization of equilibrium potentials and last exit distributions for elliptic diffusion processes
type: Item
instance of: scholarly article
title: The characterization of equilibrium potentials and last exit distributions for elliptic diffusion processes
zbMATH Open document ID: 1067.60076
author: Bo Li
author: Luqin Liu
published in: Statistics \& Probability Letters
publication date: 2005-03-08T00:00:00Z
review text: Let \(X\) be an elliptic diffusion on \({\mathbb R}^d, d \geq 3,\) and let \(L\) be its last exit time from the unit ball around the starting point. The authors are interested in precise estimates on the function \(t^{d2} {\mathbb P}[L> t]\) when \(t\to +\infty\), and in particular on the existence of moments for \(L\). The tools use an extremal representation of \(U\mu_K\) where \(U\) is the potential kernel of \(X\) and \(\mu_K\) the equilibrium measure of a compact set \(K\) with respect to \(X\).
reviewed by: Thomas Simon
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 60J25
zbMATH DE Number: 2142320
zbMATH Keywords: Last exit time
zbMATH Keywords: Moment
MaRDI profile type: Publication
full work available at URL: j.spl.2004.08.011
OpenAlex ID: W2042171752
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DOI: 10.1016/J.SPL.2004.08.011
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description: scientific article; zbMATH DE number 2142320