On diffusions that cannot escape from a convex set

DOI10.1016/0167-7152(89)90127-2MaRDI QIDQ1825527zbMATH OpenOpenAlexFDO

Authors A. Korzeniowski

Publication date 1989

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(89)90127-2

zbMATH Keywords

Brownian occupation measureslarge deviationsingular drifttest for nonexplosion

Mathematics Subject Classification ID

Large deviations (60F10) Diffusion processes (60J60)

Review text

Let X be a diffusion on an open, convex, bounded domain D in \({\mathbb{R}}^ d\). The drift term of X is assumed to be of the form \(\nabla f/f\) where \(f\in C'(D)\), \(f>0\) on D, radial close to \(\partial D\), and vanishes on \(\partial D\). It is seen that Khasminskij's test for nonexplosion takes here the simple form \(\int_{D}(1/f(y))dy=\infty\). This result is applied to derive a large deviation result for Brownian occupation measures.

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Cites work

• An introduction to the theory of large deviations
• scientific article; zbMATH DE number 3521317 (Why is no real title available?)
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Cited in

(10)

• Application of the Feynman-Kac path integral method in finding the ground state of quantum systems
• Application of the Feynman-Kac path integral method in finding excited states of quantum systems
• Non-negative Feynman-Kac kernels in Schrödinger's interpolation problem
• The stochastic reach-avoid problem and set characterization for diffusions
• scientific article; zbMATH DE number 1536204 (Why is no real title available?)
• Conditioning diffusion processes with killing rates
• Conditioning two diffusion processes with respect to their first-encounter properties
• Conditioning diffusion processes with respect to the local time at the origin
• Joint distribution of two local times for diffusion processes with the application to the construction of various conditioned processes
• Brownian motion with negative drift and convex level sets in space-time

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