Existence and asymptotic behaviour of some time-inhomogeneous diffusions

Abstract

Let us consider a solution of the time-inhomogeneous stochastic differential equation driven by a Brownian motion with drift coefficient $b(t,x)=ρ\,{\rm sgn}(x)|x|^α/t^β$. 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 $ρ,α$ and $β$, 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.

31 pages