Passage time moments for multidimensional diffusions

Citation
S. Balaji et S. Ramasubramanian, Passage time moments for multidimensional diffusions, J APPL PROB, 37(1), 2000, pp. 246-251
Citations number
4
Categorie Soggetti
Mathematics
Journal title
JOURNAL OF APPLIED PROBABILITY
ISSN journal
00219002 → ACNP
Volume
37
Issue
1
Year of publication
2000
Pages
246 - 251
Database
ISI
SICI code
0021-9002(200003)37:1<246:PTMFMD>2.0.ZU;2-2
Abstract
Let tau(r) denote the hitting time of B(0 : r) for a multidimensional diffu sion process. We give verifiable criteria for finiteness/infiniteness of E- x(tau(r)(p)). As an application we exhibit classes of diffusion processes w hich are recurrent but E-x(tau(r)(P)) is infinite For All p > 0, \x\ > r > 0; this includes the two-dimensional Brownian motion and the reflecting Bro wnian motion In a wedge with a certain parameter alpha = 0.