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- W4302305953 abstract "For a regular transient diffusion, we provide a decomposition of its last passage time to a certain state $alpha$. This is accomplished by transforming the original diffusion into two diffusions using the occupation time of the area above and below $alpha$. Based on these two processes, the decomposition formula of the Laplace transform of the last passage time is derived explicitly in a simple form in terms of Green functions. This formula may be used for further investigations of diffusions with switching parameters. As one example, we demonstrate an application to a diffusion with two-valued drift." @default.
- W4302305953 created "2022-10-06" @default.
- W4302305953 creator A5032142623 @default.
- W4302305953 creator A5064729651 @default.
- W4302305953 date "2022-10-03" @default.
- W4302305953 modified "2023-09-27" @default.
- W4302305953 title "On Decomposition of the Last Passage Time of Diffusions" @default.
- W4302305953 doi "https://doi.org/10.48550/arxiv.2210.01321" @default.
- W4302305953 hasPublicationYear "2022" @default.
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