Passage-time moments for continuous non-negative stochastic processes and applications

Abstract

We give criteria for the finiteness or infiniteness of the passage-time moments for continuous non-negative stochastic processes in terms of sub/supermartingale inequalities for powers of these processes. We apply these results to one-dimensional diffusions and also reflected Brownian motion in a wedge. The discrete-time analogue of this problem was studied previously by Lamperti and more recently by Aspandiiarov, Iasnogorodski and Menshikov [2]. Our results are continuous analogues of those in [2], but our proofs are direct and do not rely on approximation by discrete-time processes.