Divergence, convergence and moments of some integral functionals of diffusions

DOI10.1007/BF00532237MaRDI QIDQ3339894zbMATH OpenFDO

Authors M. Musiela

Publication date 1985

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

zbMATH Keywords

hitting timesadditive functionals

Mathematics Subject Classification ID

Diffusion processes (60J60) Local time and additive functionals (60J55)

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• A decomposition of Bessel Bridges
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• Disconjugacy
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• Recurrence and ergodicity of diffusions
• Remarks on non explosion theorem for stochastic differential equations

Cited in

(4)

• scientific article; zbMATH DE number 3883354 (Why is no real title available?)
• Some problems on the convergence of distributional Denjoy integral
• Divergence theorems in path space. III: Hypoelliptic diffusions and beyond
• Moment explosions in stochastic volatility models

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