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arXiv:2210.01321 [math.PR]AbstractReferencesReviewsResources

On the Decomposition of the Last Passage Time of Diffusions

Masahiko Egami, Rusudan Kevkhishvili

Published 2022-10-04Version 1

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 occupation time of the area above and below $\alpha$.

Categories: math.PR
Subjects: 60J60
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