Recurrence and ergodicity of diffusions

DOI10.1016/0047-259X(82)90086-0zbMath0499.60084OpenAlexW2008955606MaRDI QIDQ1171837

S. Singh

Publication date: 1982

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(82)90086-0

zbMATH Keywords

invariant measuresrecurrencetransiencestopping timesspace-time harmonic functions

Mathematics Subject Classification ID

Diffusion processes (60J60)

Related Items (9)

ON THE SPEED OF CONVERGENCE OF MULTIDIMENSIONAL DIFFUSIONS TO EQUILIBRIUM ⋮ Hitting a boundary point by diffusions in the closed half space ⋮ Weak convergence of recursions ⋮ Existence and asymptotic behaviour of some time-inhomogeneous diffusions ⋮ A class of limit theorems for singular diffusions ⋮ Divergence, convergence and moments of some integral functionals of diffusions ⋮ On absolute continuity and singularity of multidimensional diffusions ⋮ On the functional central limit theorem and the law of the iterated logarithm for Markov processes ⋮ Fast mean-reversion asymptotics for large portfolios of stochastic volatility models

Cites Work

• Proof of the law of iterated logarithm through diffusion equation
• Criteria for recurrence and existence of invariant measures for multidimensional diffusions
• Representation of an isotropic diffusion as a skew product
• ERGODIC PRORERTY OF N-DIMENSIONAL RECURRENT MARKOV PROCESSES
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