Recurrence and ergodicity of diffusions

R. N. Bhattacharya and S. Ramasubramanian

Journal of Multivariate Analysis, 1982, vol. 12, issue 1, 95-122

Abstract: This article attempts to lay a proper foundation for studying asymptotic properties of nonhomogeneous diffusions, extends earlier criteria for transience, recurrence, and positive recurrence, and provides sufficient conditions for the weak convergence of a shifted nonhomogeneous diffusion to a limiting stationary homogenous diffusion. A functional central limit theorem is proved for the class of positive recurrent homogeneous diffusions. Upper and lower functions for positive recurrent nonhomogeneous diffusions are also studied.

Keywords: Stopping; times; space-time; harmonic; functions; invariant; measures (search for similar items in EconPapers)
Date: 1982
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