Transience, recurrence and speed of diffusions with a non-markovian two-phase “use it or lose it” drift
Ross G. Pinsky (2014)
Annales de l'I.H.P. Probabilités et statistiques
Similarity:
We investigate the transience/recurrence of a non-Markovian, one-dimensional diffusion process which consists of a Brownian motion with a non-anticipating drift that has two phases – a transient to mode which is activated when the diffusion is sufficiently near its running maximum, and a recurrent mode which is activated otherwise. We also consider the speed of a diffusion with a two-phase drift, where the drift is equal to a certain non-negative constant when the diffusion is sufficiently...