On mean recurrence times of stationary one-dimensional diffusion processes

Let (Xt)t[set membership, variant]R[phi] be a diffusion on which starts in x and assume that a stationary initial distribution exists with continouos density [pi]. Then where T(x-[var epsilon], x + [epsilon]) denotes the first exit time of (x - [var epsilon], x + [epsilon]) and Zx[epsilon]) is the time of f return to x after T(x-[var epsilon], x+[epsilon]).

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Year of publication:	1984
Authors:	Grübel, Rudolf
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 18.1984, 1, p. 165-169
Publisher:	Elsevier
Keywords:	diffusion processes recurrence times stationary processes

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

Persistent link: https://www.econbiz.de/10008875624