Occupation time theorems for one-dimensional random walks and diffusion processes in random environments

The long time asymptotics of the time spent on the positive side are discussed for one-dimensional diffusion processes in random environments. The limiting distributions under the log-log scale are obtained for the diffusion processes in the stable medium as well as for the Brox model. Similar problems are discussed for random walks in random environments and it is proved that the limiting laws are the same as in the case of diffusions.

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Year of publication:	2009
Authors:	Kasahara, Yuji ; Watanabe, Shinzo
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 119.2009, 2, p. 347-372
Publisher:	Elsevier
Subject:	primary \| 60J55 secondary \| 60G52 Occupation times Arc-sine law Lamperti laws Brox model Random environments Feller generator Functional limit theorem

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874502