Limit theorems for a diffusion process with a one-sided brownian potential

Kiyoshi Kawazu, Yuki Suzuki

研究成果: Article査読

4 被引用数 (Scopus)

抄録

We consider a diffusion process X(t) with a one-sided Brownian potential starting from the origin. The limiting behavior of the process as time goes to infinity is studied. For each t > 0, the sample space describing the random potential is divided into two parts. Ã, and B̃t, both having probability 1/2, in such a way that our diffusion process X(t) exhibits quite different limiting behavior depending on whether it is conditioned on Ãt or on B̃t (t → ∞). The asymptotic behavior of the maximum process of X(t) is also investigated. Our results improve those of Kawazu, Suzuki, and Tanaka (2001).

本文言語English
ページ(範囲)997-1012
ページ数16
ジャーナルJournal of Applied Probability
43
4
DOI
出版ステータスPublished - 2006 12月

ASJC Scopus subject areas

  • 統計学および確率
  • 数学 (全般)
  • 統計学、確率および不確実性

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