Asymptotic exponentiality of exit times

This paper is concerned with sufficient conditions to insure that certain diffusion exit times have, asymptotically, an exponential distribution. We also show that our requirements are satisfied in interesting situations, e.g., diffusions on compact manifolds, and a singular perturbation problem.

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Year of publication:	1983
Authors:	Marchetti, Federico
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 1.1983, 4, p. 167-170
Publisher:	Elsevier
Keywords:	Diffusions on manifolds exit times principal eigenvalue asymptotic behaviour

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223629