Recurrence and transience properties of multi-dimensional diffusion processes in selfsimilar and semi-selfsimilar random environments

Seiichiro Kusuoka, Hiroshi Takahashi, Yozo Tamura

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    1 Citation (Scopus)

    Abstract

    We consider d-dimensional diffusion processes in multi-parameter random environments which are given by values at different d points of one-dimensional α-stable or (r, α)-semi-stable Lévy processes. From the model, we derive some conditions of random environments that imply the dichotomy of recurrence and transience for the d-dimensional diffusion processes. The limiting behavior is quite different from that of a d-dimensional standard Brownian motion. We also consider the direct product of a one-dimensional diffusion process in a reflected non-positive Brownian environment and a one-dimensional standard Brownian motion. For the two-dimensional diffusion process, we show the transience property for almost all reflected Brownian environments.

    Original languageEnglish
    Pages (from-to)1-11
    Number of pages11
    JournalElectronic Communications in Probability
    Volume22
    DOIs
    Publication statusPublished - 2017

    Keywords

    • Diffusion process in random environment
    • Recurrence
    • Semi-stable Lévy process
    • Stable Lévy process
    • Transience

    ASJC Scopus subject areas

    • Statistics and Probability
    • Statistics, Probability and Uncertainty

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