English

Kemeny's constant for one-dimensional diffusions

Probability 2019-03-29 v1

Abstract

Let X()X(\cdot) be a non-degenerate, positive recurrent one-dimensional diffusion process on R\mathbb{R} with invariant probability density μ(x)\mu(x), and let τy=inf{t0:X(t)=y}\tau_y=\inf\{t\ge0: X(t)=y\} denote the first hitting time of yy. Let X\mathcal{X} be a random variable independent of the diffusion process X()X(\cdot) and distributed according to the process's invariant probability measure μ(x)dx\mu(x)dx. Denote by Eμ\mathcal{E}^\mu the expectation with respect to X\mathcal{X}. Consider the expression EμExτX=(Exτy)μ(y)dy, xR. \mathcal{E}^\mu E_x\tau_\mathcal{X}=\int_{-\infty}^\infty (E_x\tau_y)\mu(y)dy, \ x\in\mathbb{R}. In words, this expression is the expected hitting time of the diffusion starting from xx of a point chosen randomly according to the diffusion's invariant distribution. We show that this expression is constant in xx, and that it is finite if and only if ±\pm\infty are entrance boundaries for the diffusion. This result generalizes to diffusion processes the corresponding result in the setting of finite Markov chains, where the constant value is known as Kemeny's constant.

Keywords

Cite

@article{arxiv.1903.12005,
  title  = {Kemeny's constant for one-dimensional diffusions},
  author = {Ross G. Pinsky},
  journal= {arXiv preprint arXiv:1903.12005},
  year   = {2019}
}
R2 v1 2026-06-23T08:22:10.741Z