Scale-invariant diffusions: transience and non-polar points
Dante Deblassie, Richard
Bernoulli, Tome 5 (1999) no. 6, p. 589-614 / Harvested from Project Euclid
Consider a diffusion in Rd (d ≥2) whose generator has coefficients independent of the distance to the origin. Then there is a parameter α so that the origin is almost surely hit when α< 1 and almost surely not hit when α> 1. Moreover, the process is transient to ∞ for α> 1. We identify α in terms of the diffusion coefficients and a certain invariant measure. In some special two-dimensional cases we explicitly compute the invariant measure and resolve the critical case α= 1. This work complements and extends certain results of Pinsky (1995) and Williams (1985).
Publié le : 1999-08-14
Classification:  invariant measure,  martingale problem,  recurrence,  scale-invariant diffusions,  transience
@article{1171899319,
     author = {Dante Deblassie, Richard},
     title = {Scale-invariant diffusions: transience and non-polar points},
     journal = {Bernoulli},
     volume = {5},
     number = {6},
     year = {1999},
     pages = { 589-614},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1171899319}
}
Dante Deblassie, Richard. Scale-invariant diffusions: transience and non-polar points. Bernoulli, Tome 5 (1999) no. 6, pp.  589-614. http://gdmltest.u-ga.fr/item/1171899319/