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Passage time moments for multidimensional diffusions

  • S. Balaji (a1) and S. Ramasubramanian (a1)
Abstract

Let τ r denote the hitting time of B(0:r) for a multidimensional diffusion process. We give verifiable criteria for finiteness/infiniteness of As an application we exhibit classes of diffusion processes which are recurrent but is infinite for all p > 0, |x| > r > 0; this includes the two-dimensional Brownian motion and the reflecting Brownian motion in a wedge with a certain parameter α = 0.

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Corresponding author
Postal address: Statistics and Mathematics Unit, Indian Statistical Institute, 8th Mile, Mysore Road, Bangalore 560 059, India.
∗∗ Email address: ram@isibang.ac.in
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Journal of Applied Probability
  • ISSN: 0021-9002
  • EISSN: 1475-6072
  • URL: /core/journals/journal-of-applied-probability
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