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A Slow Transient Diffusion in a Drifted Stable Potential

Author

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  • Arvind Singh

    (Université Pierre et Marie Curie)

Abstract

We consider a diffusion process X in a random potential $${\mathbb{V}}$$ of the form $${\mathbb{V}_x = \mathbb{S}_x -\delta x}$$ , where $$\delta$$ is a positive drift and $$\mathbb{S}$$ is a strictly stable process of index $$\alpha\in (1,2)$$ with positive jumps. Then the diffusion is transient and $$X_t / \log^\alpha t$$ converges in law towards an exponential distribution. This behaviour contrasts with the case where $${\mathbb{V}}$$ is a drifted Brownian motion and provides an example of a transient diffusion in a random potential which is as “slow” as in the recurrent setting.

Suggested Citation

  • Arvind Singh, 2007. "A Slow Transient Diffusion in a Drifted Stable Potential," Journal of Theoretical Probability, Springer, vol. 20(2), pages 153-166, June.
  • Handle: RePEc:spr:jotpro:v:20:y:2007:i:2:d:10.1007_s10959-007-0056-3
    DOI: 10.1007/s10959-007-0056-3
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    Cited by:

    1. Grégoire Véchambre, 2023. "Almost Sure Behavior for the Local Time of a Diffusion in a Spectrally Negative Lévy Environment," Journal of Theoretical Probability, Springer, vol. 36(2), pages 876-925, June.

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