This article attempts to lay a proper foundation for studying asymptotic properties of nonhomogeneous diffusions, extends earlier criteria for transience, recurrence, and positive recurrence, and provides sufficient conditions for the weak convergence of a shifted nonhomogeneous diffusion to a limiting stationary homogenous diffusion. A functional central limit theorem is proved for the class of positive recurrent homogeneous diffusions. Upper and lower functions for positive recurrent nonhomogeneous diffusions are also studied.
- Stopping times
- invariant measures
- space-time harmonic functions
ASJC Scopus subject areas
- Statistics and Probability
- Numerical Analysis
- Statistics, Probability and Uncertainty