On mean recurrence times of stationary one-dimensional diffusion processes (Q797227)
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English | On mean recurrence times of stationary one-dimensional diffusion processes |
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On mean recurrence times of stationary one-dimensional diffusion processes (English)
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1984
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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 \(\tau_{(x-\epsilon,x+\epsilon)}\).
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recurrence times
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first exit time
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time of first return
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