Hitting time of a corner for a reflected diffusion in the square

DOI10.1214/07-AIHP128MaRDI QIDQ731709zbMATH OpenOpenAlexFDO

Authors François Delarue

Publication date 8 October 2009

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

Full work available at URL https://eudml.org/doc/77998

zbMATH Keywords

distributed algorithmshitting timesLyapunov functionsreflected diffusions

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Distributed algorithms (68W15)

Review text

This paper deals with the long time behavior of a two-dimensional reflected diffusion in the unit square. The author mainly investigates the mean value of hitting time to a small neighborhood of origin depends on the correlation coefficients of the diffusion near origin, appealing to the recurrence and transience analysis and a suitable Lyapunov function. As a by-product, he establishes a criteiron for the attainability of origin.

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Cites work

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Cited in

(1)

• On collisions of Brownian particles

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