Existence and asymptotic behaviour of some time-inhomogeneous diffusions

Details Existence and asymptotic behaviour of some time-inhomogeneous diffusions Existence and asymptotic behaviour of some time-inhomogeneous diffusions

2009-11-18

arxiv.org/abs/0911.3534v4

Mathematics

Probability

31 pages

Scientific paper

Let us consider a solution of the time-inhomogeneous stochastic differential equation driven by a Brownian motion with drift coefficient $b(t,x)=\rho\,{\rm sgn}(x)|x|^\alpha/t^\beta$. This process can be viewed as a distorted Brownian motion in a potential, possibly singular, depending on time. After obtaining results on existence and uniqueness of solution, we study its asymptotic behaviour and made a precise description, in terms of parameters $\rho,\alpha$ and $\beta$, of the recurrence, transience and convergence. More precisely, asymptotic distributions, iterated logarithm type laws and rates of transience and explosion are proved for such processes.

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