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Recurrence and transience of multi-dimensional diffusion processes in reflected Brownian environments

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  • Takahashi, Hiroshi

Abstract

We discuss limiting behaviors of multi-dimensional diffusion processes in new types of random environments. The environments we treat are: (1) d independent non-negative-reflected Brownian environments and (2) d independent non-positive-reflected Brownian environments. Their behaviors are quite different from those of d-dimensional Brownian motion.

Suggested Citation

  • Takahashi, Hiroshi, 2004. "Recurrence and transience of multi-dimensional diffusion processes in reflected Brownian environments," Statistics & Probability Letters, Elsevier, vol. 69(2), pages 171-174, August.
    • Handle: RePEc:eee:stapro:v:69:y:2004:i:2:p:171-174
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