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Moments of last exit times

Published online by Cambridge University Press:  26 February 2010

John Hawkes
John Hawkes
Affiliation:
Statistics Department, University College Swansea, Singleton Park, Swansea SA2 8PP, Wales, United Kingdom.
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Extract

Let Xt be a Lévy process in Rd, d dimensional euclidean space. That is Xt is a strong Markov process whose transition function, P(t, x, A), satisfies:

Type
Research Article
Information
Mathematika , Volume 24 , Issue 2 , December 1977 , pp. 266 - 269
Copyright
Copyright © University College London 1977

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References

1.Port, S. C. and Stone, C. J.. “Infinitely divisible processes and their potential theory, I and II”, Ann. Inst. Fourier, 21 (1971), 157–275 and 21 (1971), 179–265.CrossRefGoogle Scholar
2.Takeuchi, J.. “Moments of the last exit times”, Proc. Jap. Acad., 43 (1967), 355–360.Google Scholar
3.Williams, D..“Path decomposition and continuity of local time for one-dimensional diffusions: I”, Proc. Lond. Math. Soc, 28 (1974), 738–768.CrossRefGoogle Scholar