Exit identities for diusion processes observed at Poisson arrival times  

作　　者：Yingqiu LI Ye CHEN Shilin WANG Zhaohui PENG 

机构地区：[1]School of Mathematics and Statistics,Changsha University of Science and Technology,Changsha 410004,China [2]College of Mathematics and Physics,Hunan University of Arts and Science,Changde 415000,China [3]Hunan Provincial Key Laboratory of Mathematical Modeling and Analysis in Engineering,Changsha University of Science and Technology,Changsha 410004,China

出　　处：《Frontiers of Mathematics in China》2020年第3期507-528,共22页中国高等学校学术文摘·数学（英文）

基　　金：This work was supported in part by the National Natural Science Foundation of China(Grant Nos.11571052,11731012);the Natural Science Foundation of Hunan Province(Grant Nos.2018JJ2417,2019JJ50405);the Outstanding Youth Foundation of Hunan Province Department of Education(Grant No.18B401);the China Scholarship Council(Grant No.201808430239);Open Fund of Hunan Provincial Key Laboratory of Mathematical Modeling and Analysis in Engineering(Grant No.2018MMAEZD02);the Doctoral Scientific Research Project of Hunan University of Arts and Science.

摘　　要：For diffusion processes,we extend various two-sided exit identities to the situation when the process is only observed at arrival times of an independent Poisson process.The results are expressed in terms of solutions to the differential equations associated with the diffusions generators.

关 键 词：Time-homogeneous diffusion process exit problem Poisson arrival time Brownian motion 

分 类 号：O17[理学—数学]