On mean recurrence times of stationary one-dimensional diffusion processes

Rudolf Grübel

Stochastic Processes and their Applications, 1984, vol. 18, issue 1, 165-169

Abstract: Let (Xt)t[set membership, variant]R[phi] be a diffusion on which starts in x and assume that a stationary initial distribution exists with continouos density [pi]. Then where T(x-[var epsilon], x + [epsilon]) denotes the first exit time of (x - [var epsilon], x + [epsilon]) and Zx[epsilon]) is the time of f return to x after T(x-[var epsilon], x+[epsilon]).

Keywords: diffusion; processes; recurrence; times; stationary; processes (search for similar items in EconPapers)
Date: 1984
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