On Markov chains induced from stock processes having barriers in finance market (Q696166)

Let \(S = (S_t)_{t\geq 0}\) be a time homogeneous diffusion on \((0,\infty)\) with continuous drift and continuous positive volatility. Construct a Markov chain \(X = (X_n)_{n=0,1,\dots}\) with the help of barriers \(\varrho^-(x) < x < \varrho^+(x)\) depending on the starting point \(x\) of \(S\). The paper then studies how the properties of \(S\) induce recurrence or transience of \(X\) and how they influence the invariant measure of \(X\). The motivation for this purely mathematical study comes from a question in stock markets.