On diffusions that cannot escape from a convex set

Andrzej Korzeniowski

Statistics & Probability Letters, 1989, vol. 8, issue 3, 229-234

Abstract: Let Xt be a diffusion on D with a generator , where f is a probability density such that f> 0 on an open convex set D and vanishes outside. Then [integral operator]D 1/f = [infinity] implies that Xt never leaves D. As an application we extend the asymptotics of Wiener integrals of Donsker--Varadhan from 1 to D.

Keywords: diffusion; large; deviations; variational; formula (search for similar items in EconPapers)
Date: 1989
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