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The characterization of equilibrium potentials and last exit distributions for elliptic diffusion processes


  • Li, Bo
  • Liu, Luqin


ln this paper, we give a characterization of equilibrium potentials for elliptic diffusion processes, and use this result to prove a moderate estimate for the distribution of last exit times and the sufficient and necessary condition for the existence of the k-moments of the last exit times.

Suggested Citation

  • Li, Bo & Liu, Luqin, 2004. "The characterization of equilibrium potentials and last exit distributions for elliptic diffusion processes," Statistics & Probability Letters, Elsevier, vol. 70(2), pages 155-169, November.
  • Handle: RePEc:eee:stapro:v:70:y:2004:i:2:p:155-169

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    References listed on IDEAS

    1. Kasahara, Yuji, 1993. "A functional limit theorem for trimmed sums," Stochastic Processes and their Applications, Elsevier, vol. 47(2), pages 315-322, September.
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