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

Details A note on a.s. finiteness of perpetual integral functionals of diffusions A note on a.s. finiteness of perpetual integral functionals of diffusions

2005-11-14

arxiv.org/abs/math/0511336v1

Mathematics

Probability

Scientific paper

In this note, with the help of the boundary classification of diffusions, we
derive a criterion of the convergence of perpetual integral functionals of
transient real-valued diffusions. In the particular case of transient Bessel
processes, we note that this criterion agrees with the one obtained via
Jeulin's convergence lemma.

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