A density formula for the law of time spent on the positive side of one-dimensional diffusion processes
Watanabe, Shinzo ; Yano, Kouji ; Yano, Yuko
J. Math. Kyoto Univ., Tome 45 (2005) no. 4, p. 781-806 / Harvested from Project Euclid
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We show the existence and continuity of the density and obtain its formula for the law of the fraction of time spent on the positive side of a very general class of one-dimensional (generalized or gap) diffusion processes. We also study the asymptotic properties of the density at the extreme values $x = 0$ and $x = 1$, which extend, in particular, some recent results by Kasahara and Yano [8].
Publié le : 2005-05-15
Classification:  60J60 
@article{1250281657,
     author = {Watanabe, Shinzo and Yano, Kouji and Yano, Yuko},
     title = {A density formula for the law of time spent on the positive side of one-dimensional diffusion processes},
     journal = {J. Math. Kyoto Univ.},
     volume = {45},
     number = {4},
     year = {2005},
     pages = { 781-806},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1250281657}
}

Watanabe, Shinzo; Yano, Kouji; Yano, Yuko. A density formula for the law of time spent on the positive side of one-dimensional diffusion processes. J. Math. Kyoto Univ., Tome 45 (2005) no. 4, pp.  781-806. http://gdmltest.u-ga.fr/item/1250281657/