扩散过程的生存时间及其对条件扩散的应用

The Lifetime of Diffusion Processes with Application to Conditioned Diffusions

设τＤ是扩散过程在Ｒｄ中区域Ｄ上的生存时间．本文给出τＤ指数阶矩有限的一个充分条件．这里的区域与扩散算子都是一般的．作为应用，改进了Ｇａｏ（１９９５）关于条件扩散的主要结果．

Let τ D denote the lifetime of a diffusion process on domain DR d. This paper presents a sufficient condition for the exponential moment of τ D to be finite. Here,both of the domain and the diffusion operator are in general. As an application, the Gao′s result (1995) for conditioned diffusions is improved.