Résumé
Soit γ ∈ ℝ et (X yt ; t≥0) la solution de l’EDS unidimensionelle: X yt =y+B t−1/2 ∫ t0 u(X ys )ds où la dérive—u est “fortement rentrante” (cf. H 1 et H 2 ci-dessous). Nous étudions le comportement asymptotique de E(exp αT y x ), lorsque y»∞ avec α≥0, y≥x≥0 et T y x =inf{t≥0; X y t =x}.
Keywords
- Nous Allons
- Rayleigh Process
- Condition Suivante
- Nous Verrons
- Nous Aurons
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
This is a preview of subscription content, access via your institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsPreview
Unable to display preview. Download preview PDF.
Références
[GNRS] V. Giorno, A. G. Nobile, L. M. Ricciardi, L. Sacerdote. Some remarks on the Rayleigh process, J. Appl. Prob. 23, 398–408 (1986).
[KKR] O. Kavian, G. Kerkyacharian, B. Roynette Quelques remarques sur l’ultracontractivité, Journal of Functional Analysis, 111 (1993)
[RY] D. Revuz, M. Yor Continuous Martingales and Brownian Motion, Springer Verlag
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 1997 Springer-Verlag Berlin Heidelberg
About this paper
Cite this paper
Deaconu, M., Wantz, S. (1997). Comportement des temps d’atteinte d’une diffusion fortement rentrante. In: Azéma, J., Yor, M., Emery, M. (eds) Séminaire de Probabilités XXXI. Lecture Notes in Mathematics, vol 1655. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0119301
Download citation
DOI: https://doi.org/10.1007/BFb0119301
Published:
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-62634-3
Online ISBN: 978-3-540-68352-0
eBook Packages: Springer Book Archive
