On mean recurrence times of stationary one-dimensional diffusion processes (Q797227): Difference between revisions

For a one-dimensional diffusion \((X_ t)_{t\in {\mathbb{R}}_+}\) which starts in x and has a stationary initial distribution with continuous density \(\pi\) it is shown that \[ \pi(x)=\lim_{\epsilon \to 0}(1/\epsilon)E\tau_{(x-\epsilon,x+\epsilon)}/EZ_{x,\epsilon}, \] where \(\tau_{(x-\epsilon,x+\epsilon)}\) denotes the first exit time of \((x-\epsilon,x+\epsilon)\) and \(Z_{x,\epsilon}\) is the time of first return to x after \(\tau_{(x-\epsilon,x+\epsilon)}\).