Joint Distributions Concerning Last Exit Time for Diffusion Processes

Abstract

Adopting a Poisson approach in Li and Zhou [Statist. Probab. Lett., 2014, 94: 48–55], for one-dimensional diffusion processes, we consider some joint distributions, including the last exit time from a semi-infinite interval, the value of the process at the last exit time and the associated occupation time. Our results are expressed in term of solutions to the differential equations associated with the diffusion generator.