Excursions of diffusion processes and continued fractions

DOI10.1214/10-AIHP390zbMATH Open1266.60138arXiv0906.4651MaRDI QIDQ720745FDOQ720745

Authors: Alain Comtet, Yves Tourigny 

Publication date: 11 October 2011

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

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.

Full work available at URL: https://arxiv.org/abs/0906.4651

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zbMATH Keywords

Stieltjes transformexcursionscontinued fractiondiffusion processesRiccati equation

Mathematics Subject Classification ID

Diffusion processes (60J60) Continued fractions; complex-analytic aspects (30B70)

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Cited In (5)

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• Last-passage time for linear diffusions and application to the emptying time of a box
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• Radiative Transfer in Half Spaces of Arbitrary Dimension

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