Passage time moments for multidimensional diffusions

Journal of Applied Probability

Volumn 37, Issue 1, 2000, Pages 246-251

  Balaji, S ^a   Ramasubramanian, S ^a  

^a INDIAN STATISTICAL INSTITUTE   (India)

Author keywords

Diffusion coefficients; Generator; Hitting time; Recurrent diffusions; Reflecting Brownian motion in a wedge; Sub super martingales

Indexed keywords

EID: 0034146932     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1014842281     Document Type: Article

References (4)

1. FRIEDMAN, A. (1975). Stochastic Differential Equations andApplications, Vol. I. Academic Press, New York.
2. MENSHIKOV, M. and Williams, R. J. (1996). Passage-time moments for continuous nonnegative stochastic processes and applications. Adv. Appl. Prob. 28, 747-762.
3. VARADHAN, S. R. S. and Williams, R. J. (1985). Brownian motion in a wedge with oblique reflection. Commun.PureAppl. Math. 38, 405-443.
4. WILLIAMS, R. J. (1985). Recurrence classification and invariantmeasurefor reflecting Brownian motion in a wedge. Ann. Prob. 13, 758-778.