On the occupation time on the half line of pinned diffusion processes

DOI10.2977/PRIMS/1166642160MaRDI QIDQ863793zbMATH OpenOpenAlexFDO

Authors Yuko Yano

Publication date 1 February 2007

Published in Publications of the Research Institute for Mathematical Sciences, Kyoto University (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2977/prims/1166642160

zbMATH Keywords

arc-sine lawBrownian motionKrein's theoryspead measureTauberian theorem

Mathematics Subject Classification ID

Limit theorems in probability theory (60F99) Continuous-time Markov processes on general state spaces (60J25) Diffusion processes (60J60)

Review text

Summary: The aim of the present paper is to generalize Lévy's result of the occupation time on the half line of pinned Brownian motion for pinned diffusion processes. An asymptotic behavior of the distribution function at the origin of the occupation time \(\Gamma_+(t)\) and limit theorem for the law of the fraction \(\Gamma_+(t)/t\) when \(t\to\infty\) are studied. An expression of the distribution function by the Riemann-Liouville fractional integral for pinned skew Bessel diffusion processes is also obtained. Krein's spectral theory and Tauberian theorem play important roles in the proofs.

Recommendations

• On occupation times of one-dimensional diffusions
• Asymptotics for occupation times of half-lines by stable processes and perturbed reflecting brownian motion
• Occupation time theorems for a class of one-dimensional diffusion processes
• On the discrete approximation of occupation time of diffusion processes
• On the joint law of the occupation times for a diffusion process on multiray
• Occupation time theorems for one-dimensional random walks and diffusion processes in random environments
• The diffusive behavior of the occupation time function in exclusion processes
• A note on occupation times of stationary processes

Cites work

• An inversion formula for the generalized Stieltjes transform
• An Occupation Time Theorem for A Class of Stochastic Processes
• Elementary Solutions for Certain Parabolic Partial Differential Equations
• scientific article; zbMATH DE number 3782160 (Why is no real title available?)
• scientific article; zbMATH DE number 18223 (Why is no real title available?)
• scientific article; zbMATH DE number 3543414 (Why is no real title available?)
• scientific article; zbMATH DE number 774038 (Why is no real title available?)
• scientific article; zbMATH DE number 3206627 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• scientific article; zbMATH DE number 3108056 (Why is no real title available?)
• On a generalized arc-sine law for one-dimensional diffusion processes
• The Stieltjes Transform

Cited in

(11)

• On a generalized arc-sine law for one-dimensional diffusion processes
• On occupation times of one-dimensional diffusions
• On a Lévy process pinned at random time
• Stationary distributions for a class of generalized Fleming-Viot processes
• Two-time correlation and occupation time for the Brownian bridge and tied-down renewal processes
• Asymptotics for occupation times of half-lines by stable processes and perturbed reflecting brownian motion
• Functional limit theorem for occupation time processes of intermittent maps
• Tauberian theorem for harmonic mean of Stieltjes transforms and its applications to linear diffusions
• Remarks on the density of the law of the occupation time for Bessel bridges and stable excursions
• Diffusions with Bessel-like drifts
• Lamperti-type laws

This page was built for publication: On the occupation time on the half line of pinned diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q863793)