On mean recurrence times of stationary one-dimensional diffusion processes (Q797227): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/0304-4149(84)90169-8 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2040333647 / rank | |||
Normal rank |
Revision as of 21:12, 19 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | On mean recurrence times of stationary one-dimensional diffusion processes |
scientific article |
Statements
On mean recurrence times of stationary one-dimensional diffusion processes (English)
0 references
1984
0 references
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 \(\tau_{(x-\epsilon,x+\epsilon)}\).
0 references
recurrence times
0 references
first exit time
0 references
time of first return
0 references