Balaji, S. ; Ramasubramanian, S. (2000) Passage time moments for multidimensional diffusions Journal of Applied Probability, 37 (1). pp. 246-251. ISSN 0021-9002
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Related URL: http://dx.doi.org/10.1239/jap/1014842281
Abstract
Let τr denote the hitting time of B(0:r) for a multidimensional diffusion process. We give verifiable criteria for finiteness/infiniteness of Ex(τrp). As an application we exhibit classes of diffusion processes which are recurrent but Ex(τrp) is infinite for all p > 0, |x| > r > 0; this includes the two-dimensional Brownian motion and the reflecting Brownian motion in a wedge with a certain parameter α = 0.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Applied Probability Trust. |
| Keywords: | Hitting Time; Recurrent Diffusions; Generator; Diffusion Coefficients; Sub/Super-martingales; Reflecting Brownian Motion in a Wedge |
| ID Code: | 92804 |
| Deposited On: | 04 Jun 2012 13:50 |
| Last Modified: | 04 Jun 2012 13:50 |
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