A conditional expectation formula for diffusion processes
- 1 September 1977
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 14 (3) , 626-629
- https://doi.org/10.2307/3213468
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
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