On mean exit time from a curvilinear domain
In this short communication, we consider a mean exit time problem for a non-degenerate, two-dimensional, coupled diffusion process Mt=(xt,yt) in the interior of a curvilinear domain with a C2-boundary, where xt is any arbitrary diffusion process and yt is a geometric Brownian motion evolving under non-explosive conditions, and [psi](.) is a real-valued, positive, increasing, continuous function such that [psi](0)>=0. It is proved that, under certain conditions, the mean exit time is a logarithmic function associated with a certain second-order nonlinear ordinary differential equation. At the end of the note, we shall present several examples to illustrate our main result.
Year of publication: |
2008
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Authors: | Makasu, Cloud |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 17, p. 2859-2863
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Publisher: |
Elsevier |
Saved in:
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