Quasistationary distributions for one-dimensional diffusions with singular boundary points

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:129

Article

Hening, Alexandru¹  Kolb, Martin² 

[1] Tufts Univ, Dept Math, Bromfield Pearson Hall,503 Boston Ave, Medford, MA 02155 USA

[2] Univ Paderborn, Dept Math, Warburger Str 100, D-33098 Paderborn, Germany

关键词: One-dimensional diffusion;    Quasistationary distribution;    Yaglom limit;    Q process;   

DOI  :  10.1016/j.spa.2018.05.012

来源: Elsevier

【 摘 要 】

In the present work we characterize the existence of quasistationary distributions for diffusions on (0, infinity) allowing singular behavior at 0 and infinity. If absorption at 0 is certain, we show that there exists a quasistationary distribution as soon as the spectrum of the generator is strictly positive. This complements results of Cattiaux et al. (2009) and Kolb and Steinsaltz (2012) for 0 being a regular boundary point and extends results by Cattiaux et al. (2009) on singular diffusions. (C) 2018 Elsevier B.V. All rights reserved.

【 授权许可】

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