| Popis: |
Ornstein-Uhlenbeck process is widely used in the study of neuronal activity and in electricity markets spot price modeling. Let L B be the last exit time from a compact set B of the Ornstein-Uhlenbeck type Markov process X = (Ω,ℱ, ℱ t , X t , θ t , Px) on Rd. A sufficient and necessary condition for Ex[L B η] < ∞(η > 0) is expressed in terms of transition probabilities of the process. Based on the condition, a criterion is given for Ex[L B η] < ∞(η > 0) using the Levy measure and the coefficient matrix of liner drift term which associate with the process. |
