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Passage time moments for multidimensional diffusions
Published online by Cambridge University Press: 14 July 2016
Abstract
Let τr denote the hitting time of B(0:r) for a multidimensional diffusion process. We give verifiable criteria for finiteness/infiniteness of As an application we exhibit classes of diffusion processes which are recurrent but 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.
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- Copyright © 2000 by The Applied Probability Trust
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