Transience, recurrence and speed of diffusions with a non-Markovian two-phase ``use it or lose it drift

DOI10.1214/13-AIHP549MaRDI QIDQ479704zbMATH OpenFDO

Authors Ross G. Pinsky

Publication date 5 December 2014

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1210.2443, https://projecteuclid.org/euclid.aihp/1413555497

zbMATH Keywords

diffusion processnon-Markovian driftrecurrencetransience

Mathematics Subject Classification ID

Diffusion processes (60J60)

Abstract: We investigate the transience/recurrence of a non-Markovian, one-dimensional diffusion process which consists of a Brownian motion with a non-anticipating drift that has two phases---a transient to $+infty$ mode which is activated when the diffusion is sufficiently near its running maximum, and a recurrent mode which is activated otherwise. We also consider the speed of a diffusion with a two-phase drift, where the drift is equal to a certain positive constant when the diffusion is sufficiently near its running maximum, and is equal to another positive constant otherwise.

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