Limit theorems for hitting times of 1-dimensional generalized diffusions

Citation
M. Tomisaki et M. Yamazato, Limit theorems for hitting times of 1-dimensional generalized diffusions, NAG MATH J, 152, 1998, pp. 1-37
Citations number
12
Categorie Soggetti
Mathematics
Journal title
NAGOYA MATHEMATICAL JOURNAL
ISSN journal
00277630 → ACNP
Volume
152
Year of publication
1998
Pages
1 - 37
Database
ISI
SICI code
0027-7630(199812)152:<1:LTFHTO>2.0.ZU;2-G
Abstract
Limit theorems are obtained for suitably normalized hitting times of single points for 1-dimensional generalized diffusion processes as the hitting po ints tend to boundaries under an assumption which is slightly stronger than that the existence of limits gamma + 1 of the ratio of the mean and the va riance of the hitting time. Laplace transforms of limit distributions are m odifications of Bessel functions. Results are classified by the one paramet er {gamma}, each of which is the degree of corresponding Bessel function. I n case the limit distribution is degenerate to one point, by changing the n ormalization, we obtain convergence to the normal distribution. Regarding t he starting point as a time parameter, we obtain convergence in finite dime nsional distributions to self-similar processes with independent increments under slightly stronger assumption.