Divergence, convergence and moments of some integral functionals of diffusions

DOI10.1007/BF00532237zbMath0548.60075MaRDI QIDQ3339894

Marek Musiela

Publication date: 1985

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

additive functionalshitting times

Mathematics Subject Classification ID

Diffusion processes (60J60) Local time and additive functionals (60J55)

Related Items

Moment explosions in stochastic volatility models

Cites Work

• On Kac functionals of one-dimensional diffusions
• No explosion criteria for stochastic differential equations
• Recurrence and ergodicity of diffusions
• Remarks on non explosion theorem for stochastic differential equations
• Criteria for recurrence and existence of invariant measures for multidimensional diffusions
• Disconjugacy
• On Positive Solutions of the Equation $\mathfrak{A}U + Vu = 0$
• Ergodic Properties of Recurrent Diffusion Processes and Stabilization of the Solution to the Cauchy Problem for Parabolic Equations
• A decomposition of Bessel Bridges
• Behavior of diffusion semi-groups at infinity
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