On occupation times of one-dimensional diffusions

DOI10.1007/S10959-020-00993-3MaRDI QIDQ2031021zbMATH OpenOpenAlexFDO

Authors David Stenlund, Paavo Salminen

Publication date 8 June 2021

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1911.10839

zbMATH Keywords

additive functionalarcsine lawBrownian spiderGreen kernelLamperti distributionoscillating Brownian motion

Mathematics Subject Classification ID

Factorials, binomial coefficients, combinatorial functions (05A10) Local time and additive functionals (60J55) Diffusion processes (60J60) Brownian motion (60J65)

Abstract: In this paper we study the moment generating function and the moments of occupation time functionals of one-dimensional diffusions. Assuming, specifically, that the process lives on $mathbbR$ and starts at~0, we apply Kac's moment formula and the strong Markov property to derive an expression for the moment generating function in terms of the Green kernel of the underlying diffusion. Moreover, the approach allows us to derive a recursive equation for the Laplace transforms of the moments of the occupation time on $mathbb{R}_{+}$. If the diffusion has a scaling property, the recursive equation simplifies to an equation for the moments of the occupation time up to time 1. As examples of diffusions with scaling property we study in detail skew two-sided Bessel processes and, as a special case, skew Brownian motion. It is seen that for these processes our approach leads to simple explicit formulas. The recursive equation for a sticky Brownian motion is also discussed.

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Cited in

(11)

• Mean occupation times of continuous one-dimensional Markov processes
• On the connection between Stirling numbers and Bessel numbers
• Multilayer heat equations and their solutions via oscillating integral transforms
• Diffusion occupation time before exiting
• An occupation time related potential measure for diffusion processes
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• Cosine families, invariant subspaces, and boundary conditions for a class of diffusions on star graphs
• Occupation time of exclusion processes with conductances
• On the occupation time on the half line of pinned diffusion processes

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