English

Poincar\'e inequality and exponential integrability of hitting times for linear diffusions

Probability 2009-07-07 v1

Abstract

Let XX be a regular linear continuous positively recurrent Markov process with state space R\R, scale function SS and speed measure mm. For aRa\in \R denote B^+_a&=\sup_{x\geq a} \m(]x,+\infty[)(S(x)-S(a)) B^-_a&=\sup_{x\leq a} \m(]-\infty;x[)(S(a)-S(x)) We study some characteristic relations between Ba+B^+_a, BaB^-_a, the exponential moments of the hitting times TaT_a of XX, the Hardy and Poincar\'e inequalities for the Dirichlet form associated with XX. As a corollary, we establish the equivalence between the existence of exponential moments of the hitting times and the spectral gap of the generator of XX.

Cite

@article{arxiv.0907.0762,
  title  = {Poincar\'e inequality and exponential integrability of hitting times for linear diffusions},
  author = {D. Loukianova and O. Loukianov and Sh. Song},
  journal= {arXiv preprint arXiv:0907.0762},
  year   = {2009}
}
R2 v1 2026-06-21T13:21:26.844Z