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Hitting time of a corner for a reflected diffusion in the square. (English) Zbl 1180.60035

This paper deals with the long time behavior of a two-dimensional reflected diffusion in the unit square. The author mainly investigates the mean value of hitting time to a small neighborhood of origin depends on the correlation coefficients of the diffusion near origin, appealing to the recurrence and transience analysis and a suitable Lyapunov function. As a by-product, he establishes a criteiron for the attainability of origin.

MSC:

60G40 Stopping times; optimal stopping problems; gambling theory
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
68W15 Distributed algorithms
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References:

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