A conditional expectation formula for diffusion processes
- 1 June 1977
- journal article
- research article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 14 (03) , 626-629
- https://doi.org/10.1017/s0021900200025894
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
This publication has 1 reference indexed in Scilit:
- Conditional diffusion processes in population geneticsTheoretical Population Biology, 1973