Excursions of diffusion processes and continued fractions (Q720745): Difference between revisions

For many diffusions, one can associate with a generator some Riccati equation, the solution to which can be found in terms of certain continued fractions. On the other hand, this problem has a probabilistic counterpart: there is a relationship between the characteristic exponent of a certain Lévy process [\textit{J. Pitman} and \textit{M. Yor}, Bernoulli 9, No. 1, 1--24 (2003; Zbl 1024.60032)] and the solution to such a Riccati equation. Moreover, this solution can be written as a Stieltjes function \(S(w)\) [\textit{R. Schilling} et al., Bernstein functions. Berlin: de Gruyter (2012; Zbl 1257.33001)]. \textit{T. J. Stieltjes} [Toulouse Ann. VIII, J1--J122 (1894); ibid. IX, A1--A47 (1895); C. R. CXVIII, 1401--1403 (1894; JFM 25.0326.01)] considered the problem of recovering a measure on \(\mathbb{R}_+\) from its moments, and to do that used continued fractions of the form \[ \frac{1}{m_0w+ \frac{1}{l_1+ \frac{1}{m_1w + \frac{1}{l_2+\dots}}}}. \] The approach of Stieltjes is used in order to find the solution to the Riccati equation treated in the present paper. Further, some applications are considered, in particular, when the initial generator is that of a diffusion with drift, or of a Bessel process.