Behaviour of the hitting times of a strongly recurrent diffusion process
Assume that \(u: \mathbb{R}\to \mathbb{R}\) is locally Lipschitz s.t. the stochastic differential equation \(X^y_t =y+ B_t+ \int^t_0 u(X^y_s) ds\) \((B_t\) is one-dimensional normal Brownian motion) has a unique strong solution. The solution \(X^y_t\) is called strongly recurrent if \(u|(0,\infty) \in C^2\), \(u(x),u'(x) \to\infty\), \((u')^2/u =o(u)\) as \(x\in \infty\) and \(uu \leq 2(u')^2\) outside some compact set, and if \(\int^\infty u^{-1} dx< \infty\). The authors determine the limiting behaviour of \(\mathbb{E}^y (\exp (\alpha T^y_x))\), \(\alpha \geq 0\), \(0\leq x\leq y\), as \(y\to \infty\). Here, \(T^y_x\) denotes the first time the process \(X^y_t\) hits \(x\). The proof uses the representation \(\mathbb{E}^y (\exp (\alpha T^y_x)) =f(y)/f(x)\) where \(f\) is some eigenfunction of the infinitesimal generator of \(X^\bullet_t\). \(f\) is explicitly given. For the entire collection see [Zbl 0864.00069].
- scientific article; zbMATH DE number 758249 (Why is no real title available?)
- scientific article; zbMATH DE number 887395 (Why is no real title available?)
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