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Eigentime Identity for One-Dimensional Diffusion Processes

Published online by Cambridge University Press:  30 January 2018

Li-Juan Cheng
Affiliation:
Zhejiang University of Technology and Beijing Normal University
Yong-Hua Mao
Affiliation:
Beijing Normal University
Corresponding
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Abstract

The eigentime identity for one-dimensional diffusion processes on the halfline with an entrance boundary at ∞ is obtained by using the trace of the deviation kernel. For the case of an exit boundary at ∞, a similar eigentime identity is presented with the aid of the Green function. Explicit equivalent statements are also listed in terms of the strong ergodicity or the uniform decay for diffusion processes.

Type
Research Article
Copyright
© Applied Probability Trust 

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