Excursions of diffusion processes and continued fractions
From MaRDI portal
Publication:720745
Abstract: It is well-known that the excursions of a one-dimensional diffusion process can be studied by considering a certain Riccati equation associated with the process. We show that, in many cases of interest, the Riccati equation can be solved in terms of an infinite continued fraction. We examine the probabilistic significance of the expansion. To illustrate our results, we discuss some examples of diffusions in deterministic and in random environments.
Recommendations
- Excursions of birth and death processes, orthogonal polynomials, and continued fractions
- Solutions of the Riccati equation and their relation to the Toda lattice
- scientific article; zbMATH DE number 3897377
- Formal continued fractions solutions of the generalized second order Riccati equations. Applications
- On the excursion theory for linear diffusions
Cites work
- scientific article; zbMATH DE number 3649136 (Why is no real title available?)
- scientific article; zbMATH DE number 3820858 (Why is no real title available?)
- scientific article; zbMATH DE number 3896052 (Why is no real title available?)
- scientific article; zbMATH DE number 3718235 (Why is no real title available?)
- scientific article; zbMATH DE number 3736754 (Why is no real title available?)
- scientific article; zbMATH DE number 3782160 (Why is no real title available?)
- scientific article; zbMATH DE number 41159 (Why is no real title available?)
- scientific article; zbMATH DE number 3513077 (Why is no real title available?)
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
- scientific article; zbMATH DE number 942202 (Why is no real title available?)
- scientific article; zbMATH DE number 918811 (Why is no real title available?)
- scientific article; zbMATH DE number 3200861 (Why is no real title available?)
- A characterization of the generalized inverse Gaussian distribution by continued fractions
- A diffusion process in a Brownian environment with drift
- ASSOCIATED STURM-LIOUVILLE SYSTEMS
- Application of Stieltjes theory for S-fractions to birth and death processes
- Diffusion processes and their sample paths.
- Dynamical exponents for one-dimensional random-random directed walks.
- Electron Levels in a One-Dimensional Random Lattice
- Excursions into a new duality relation for diffusion processes
- Excursions of birth and death processes, orthogonal polynomials, and continued fractions
- Explicit invariant measures for products of random matrices
- First Passage times and Sojourn Times for Brownian Motion in Space and the Exact Hausdorff Measure of the Sample Path
- Generalized Ray-Knight theory and limit theorems for self-interacting random walks on \(\mathbb{Z}^ 1\)
- Hitting, occupation and inverse local times of one-dimensional diffusions: Martingale and excursion approaches
- Large deviations
- Lévy Processes and Stochastic Calculus
- On asymptotic behaviour of the spectra of a one-dimensional Hamiltonian with a certain random coefficient
- One-dimensional diffusions and their exit spaces.
- Padé approximants of random Stieltjes series
- Reflection between two conjugate diffusions
- Solutions of the Riccati equation and their relation to the Toda lattice
- Some explicit Krein representations of certain subordinators, including the gamma process
- Special Functions, Stieltjes Transforms and Infinite Divisibility
- The Differential Equations of Birth-and-Death Processes, and the Stieltjes Moment Problem
- The formal theory of birth-and-death processes, lattice path combinatorics and continued fractions
- Variations sur une formule de Paul Lévy. (Variations on a formula of Paul Levý)
- Wall and Siegmund duality relations for birth and death chains with reflecting barrier
Cited in
(5)- Radiative Transfer in Half Spaces of Arbitrary Dimension
- scientific article; zbMATH DE number 811873 (Why is no real title available?)
- Relating absorbing and hard wall boundary conditions for a one-dimensional run-and-tumble particle
- Last-passage time for linear diffusions and application to the emptying time of a box
- scientific article; zbMATH DE number 6611155 (Why is no real title available?)
This page was built for publication: Excursions of diffusion processes and continued fractions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q720745)
