Electronic Communications in Probability

Kemeny’s constant for one-dimensional diffusions

Ross Pinsky

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Let $X(\cdot )$ be a non-degenerate, positive recurrent one-dimensional diffusion process on $\mathbb{R} $ with invariant probability density $\mu (x)$, and let $\tau _{y}=\inf \{t\ge 0: X(t)=y\}$ denote the first hitting time of $y$. Let $\mathcal{X} $ be a random variable independent of the diffusion process $X(\cdot )$ and distributed according to the process’s invariant probability measure $\mu (x)dx$. Denote by $\mathcal{E} ^{\mu }$ the expectation with respect to $\mathcal{X} $. Consider the expression \[ \mathcal{E} ^{\mu }E_{x}\tau _{\mathcal{X} }=\int _{-\infty }^{\infty }(E_{x}\tau _{y})\mu (y)dy, \ x\in \mathbb{R} . \] In words, this expression is the expected hitting time of the diffusion starting from $x$ of a point chosen randomly according to the diffusion’s invariant distribution. We show that this expression is constant in $x$, and that it is finite if and only if $\pm \infty $ are entrance boundaries for the diffusion. This result generalizes to diffusion processes the corresponding result in the setting of finite Markov chains, where the constant value is known as Kemeny’s constant.

Article information

Electron. Commun. Probab., Volume 24 (2019), paper no. 36, 5 pp.

Received: 7 April 2019
Accepted: 16 May 2019
First available in Project Euclid: 22 June 2019

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Zentralblatt MATH identifier

Primary: 60J60: Diffusion processes [See also 58J65] 60J50: Boundary theory

Kemeny’s constant one-dimensional diffusion entrance boundary

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Pinsky, Ross. Kemeny’s constant for one-dimensional diffusions. Electron. Commun. Probab. 24 (2019), paper no. 36, 5 pp. doi:10.1214/19-ECP244. https://projecteuclid.org/euclid.ecp/1561169052

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