Quasistationary distributions for one-dimensional diffusions with singular boundary points

被引:16
|
作者
Hening, Alexandru [1 ]
Kolb, Martin [2 ]
机构
[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; BEHAVIOR;
D O I
10.1016/j.spa.2018.05.012
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
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.
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页码:1659 / 1696
页数:38
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