English

One-Dimensional Diffusions That Eventually Stop Down-Crossing

Probability 2014-02-26 v1

Abstract

Consider a diffusion process corresponding to the operator L=12ad2dx2+bddxL=\frac12a\frac{d^2}{dx^2}+b\frac d{dx} and which is transient to ++\infty. For c>0c>0, we give an explicit criterion in terms of the coefficients aa and bb which determines whether or not the diffusion almost surely eventually stops making down-crossings of length cc. As a particular case, we show that if a=1a=1, then the diffusion almost surely stops making down-crossings of length cc if b(x)12clogx+γcloglogxb(x)\ge\frac1{2c}\log x+\frac\gamma c\log\log x, for some γ>1\gamma>1 and for large xx, but makes down-crossings of length cc at arbitrarily large times if b(x)12clogx+1cloglogxb(x)\le\frac1{2c}\log x+\frac1c\log\log x, for large xx.

Keywords

Cite

@article{arxiv.0912.1973,
  title  = {One-Dimensional Diffusions That Eventually Stop Down-Crossing},
  author = {Ross G. Pinsky},
  journal= {arXiv preprint arXiv:0912.1973},
  year   = {2014}
}
R2 v1 2026-06-21T14:22:09.567Z