Recurrence and transience of Gaussian diffusion processes
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The author studies Gaussian diffusions in \(\mathbb{R}^ d\). These diffusions can be described by means of stochastic equations of the form \[ dX^ T_ t=AX_ t dt+B^{1/2}dW_ t, \] where \(A\) and \(B\) are \(d\times d\) matrices, \(B\) positive definite, and \(W_ t\) a standard Brownian motion. The author deals with questions of irreducibility, positive and null recurrence as well as transience. He gives a complete characterization, using the Jordan decomposition of \(A\).
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Cites work
- A cumulative hierarchy of predicates
- A recurrence criterion for Markov processes of Ornstein-Uhlenbeck type
- Criteria for recurrence and existence of invariant measures for multidimensional diffusions
- scientific article; zbMATH DE number 3780265 (Why is no real title available?)
- scientific article; zbMATH DE number 3493681 (Why is no real title available?)
- scientific article; zbMATH DE number 755593 (Why is no real title available?)
- scientific article; zbMATH DE number 3272022 (Why is no real title available?)
- Some global properties of symmetric diffusion processes
Cited in
(12)- A mini-max variational formula giving necessary and sufficient conditions for recurrence or transience of multidimensional diffusion processes
- Recurrence of a diffusion process in a multidimensional Brownian environment
- Recurrence and transience of diffusions in a half-space
- Excessive measures for linear diffusions
- Recurrence and transience of multi-dimensional diffusion processes in reflected Brownian envi\-ronments
- Recurrence of multi-dimensional diffusion processes in Brownian environments
- Gaussian and non-Gaussian behaviour of diffusion processes
- scientific article; zbMATH DE number 3858124 (Why is no real title available?)
- scientific article; zbMATH DE number 4086692 (Why is no real title available?)
- scientific article; zbMATH DE number 627543 (Why is no real title available?)
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- Recurrent perturbations of certain transient radially symmetric diffusions
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