Limit distribution of the last exit time for stationary random sequences

1980 ◽  
Vol 52 (3) ◽  
pp. 301-308 ◽  
Author(s):  
J�rg H�sler
Keyword(s):  
Limit Distribution ◽  
Exit Time ◽  
Random Sequences ◽  
Last Exit Time

scholarly journals Prognostics Based on Stochastic Degradation Process: The Last Exit Time Perspective

2021 ◽  
pp. 1-19
Author(s):  
Jian-Xun Zhang ◽  
Dang-Bo Du ◽  
Xiao-Sheng Si ◽  
Yang Liu ◽  
Chang-Hua Hu
Keyword(s):  
Time Perspective ◽  
Exit Time ◽  
Degradation Process ◽  
Last Exit Time

On last-exit time distribution

1976 ◽  
Vol 8 (2) ◽  
pp. 246-247
Author(s):  
R. Syski
Keyword(s):  
Time Distribution ◽  
Exit Time ◽  
Last Exit Time

On first returning time and last exit time of a class of Markov chain

2012 ◽  
Vol 29 (2) ◽  
pp. 331-344
Author(s):  
Hui Zeng Zhang ◽  
Min Zhi Zhao ◽  
Lei Wang
Keyword(s):  
Markov Chain ◽  
Exit Time ◽  
Last Exit Time

scholarly journals On some exponential functionals of Brownian motion

1992 ◽  
Vol 24 (03) ◽  
pp. 509-531 ◽  
Author(s):  
Marc Yor
Keyword(s):  
Brownian Motion ◽  
Bessel Functions ◽  
Exit Time ◽  
Fixed Time ◽  
Mathematical Finance ◽  
Time Interval ◽  
Bessel Processes ◽  
Fixed Time Interval ◽  
Last Exit Time ◽  
Subordination Result

In this paper, distributional questions which arise in certain mathematical finance models are studied: the distribution of the integral over a fixed time interval [0, T] of the exponential of Brownian motion with drift is computed explicitly, with the help of computations previously made by the author for Bessel processes. The moments of this integral are obtained independently and take a particularly simple form. A subordination result involving this integral and previously obtained by Bougerol is recovered and related to an important identity for Bessel functions. When the fixed time T is replaced by an independent exponential time, the distribution of the integral is shown to be related to last-exit-time distributions and the fixed time case is recovered by inverting Laplace transforms.

On the Pricing of Options Written on the Last Exit Time

2008 ◽  
Vol 11 (4) ◽  
pp. 661-668 ◽  
Author(s):  
Jirô Akahori ◽  
Yuri Imamura ◽  
Yuko Yano
Keyword(s):  
Exit Time ◽  
Last Exit Time
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