DIVERGENT SUMS OVER EXCURSIONS

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:54

Article

关键词: EXCURSION FORMULA;    LOCAL TIME;    DIFFUSION;    SAMPLE PATH PROPERTIES;   

DOI  :  10.1016/0304-4149(94)00014-X

来源: Elsevier

【 摘 要 】

Criteria for the almost sure divergence or convergence of sums of functions of excursions away from a recurrent point in the state space of a Markov process are proved. These are applied to the excursions from 0 of reflecting diffusions; in particular, reflecting Brownian motion, to derive some interesting sample path properties for these processes.

【 授权许可】

Free