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Limit theorems for transient diffusions on the line
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  • Published: March 1991

Limit theorems for transient diffusions on the line

  • D. G. Hobson1 &
  • L. C. G. Rogers1 nAff2 

Probability Theory and Related Fields volume 89, pages 61–74 (1991)Cite this article

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Summary

LetX be a diffusion in natural scale on (0,1], with 1 reflecting, and letc(x)≡ℍ(H x ) andv(x)≡var (H x ), whereH x =inf{t: X t =x}. Let σ x =sup{t:X t =x}. The main results of this paper are firstly that (i)c is slowly varying; (ii)\({{c\left( {X_t } \right)} \mathord{\left/ {\vphantom {{c\left( {X_t } \right)} {t\xrightarrow{\mathbb{P}}}}} \right. \kern-\nulldelimiterspace} {t\xrightarrow{\mathbb{P}}}}1;(iii) {{H_x } \mathord{\left/ {\vphantom {{H_x } {c(x)\xrightarrow{\mathbb{P}}}}} \right. \kern-\nulldelimiterspace} {c(x)\xrightarrow{\mathbb{P}}}}1;(iv) {{\sigma _x } \mathord{\left/ {\vphantom {{\sigma _x } {c(x)\xrightarrow{\mathbb{P}}1}}} \right. \kern-\nulldelimiterspace} {c(x)\xrightarrow{\mathbb{P}}1}}\) are all equivalent: and secondly that (v)\({{c(X_t )} \mathord{\left/ {\vphantom {{c(X_t )} {t\xrightarrow{{a.s.}}}}} \right. \kern-\nulldelimiterspace} {t\xrightarrow{{a.s.}}}}1; (vi) {{H_x } \mathord{\left/ {\vphantom {{H_x } {c(x)\xrightarrow{{a.s.}}}}} \right. \kern-\nulldelimiterspace} {c(x)\xrightarrow{{a.s.}}}}1; (vii) {{\sigma _x } \mathord{\left/ {\vphantom {{\sigma _x } {c(x)\xrightarrow{{a.s.}}1}}} \right. \kern-\nulldelimiterspace} {c(x)\xrightarrow{{a.s.}}1}}\) are all equivalent, and are implied by the condition\(\int\limits_{0 + } {c(x)^{ - 2} dv(x)< \infty } \). Other partial results for more general limit theorems are proved, and new results on regular variation are established.

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References

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Author notes
  1. L. C. G. Rogers

    Present address: School of Mathematical Sciences, Queen Mary+Westfield College, Mile End Rd., E14NS, London, UK

Authors and Affiliations

  1. Statistical Laboratory, University of Cambridge, 16 Mill Lane, CB2 1SB, Cambridge, UK

    D. G. Hobson & L. C. G. Rogers

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  1. D. G. Hobson
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  2. L. C. G. Rogers
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Hobson, D.G., Rogers, L.C.G. Limit theorems for transient diffusions on the line. Probab. Th. Rel. Fields 89, 61–74 (1991). https://doi.org/10.1007/BF01225825

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  • Received: 17 October 1990

  • Issue Date: March 1991

  • DOI: https://doi.org/10.1007/BF01225825

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Keywords

  • Stochastic Process
  • Probability Theory
  • Limit Theorem
  • Mathematical Biology
  • General Limit
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