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A note on a.s. finiteness of perpetual integral functionals of difusions


 
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1. Title Title of document A note on a.s. finiteness of perpetual integral functionals of difusions
 
2. Creator Author's name, affiliation, country Davar Khoshnevisan; University of Utah, Utah, U.S.A.
 
2. Creator Author's name, affiliation, country Paavo Salminen; AAbo Akademi University, AAbo, Finland
 
2. Creator Author's name, affiliation, country Marc Yor; Universit'e Pierre et Marie Curie, Paris, France
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Brownian motion, random time change, exit boundary, local time, additive functional, stochastic differential equation, Khas'minskii's lemma, spectrally negative L'evy process.
 
3. Subject Subject classification 60J65, 60J60
 
4. Description Abstract In this note we use the boundary classification of diffusions in order to derive a criterion for the convergence of perpetual integral functionals of transient real-valued diffusions. We present a second approach, based on Khas'minskii's lemma, which is applicable also to spectrally negative L'evy processes. In the particular case of transient Bessel processes, our criterion agrees with the one obtained via Jeulin's convergence lemma.
 
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6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2006-07-06
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1203
 
10. Identifier Digital Object Identifier 10.1214/ECP.v11-1203
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 11
 
12. Language English=en
 
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