Strangely sweeping one-dimensional diffusion
Ryszard Rudnicki
Annales Polonici Mathematici, Tome 58 (1993), p. 37-45 / Harvested from The Polish Digital Mathematics Library
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Let X(t) be a diffusion process satisfying the stochastic differential equation dX(t) = a(X(t))dW(t) + b(X(t))dt. We analyse the asymptotic behaviour of p(t) = ProbX(t) ≥ 0 as t → ∞ and construct an equation such that limsupt→∞t-1∫0tp(s)ds=1 and liminft→∞t-1∫0tp(s)ds=0.

Publié le : 1993-01-01
EUDML-ID : urn:eudml:doc:262362 
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Ryszard Rudnicki. Strangely sweeping one-dimensional diffusion. Annales Polonici Mathematici, Tome 58 (1993) pp. 37-45. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-apmv58z1p37bwm/

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