Grübel, Rudolf - In: Stochastic Processes and their Applications 18 (1984) 1, pp. 165-169
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...