Existence and construction of quasi-stationary distributions for one-dimensional diffusions
Probability
2015-12-31 v2
Abstract
In this paper, we study quasi-stationary distributions (QSDs) for one-dimensional diffusions killed at 0, when 0 is a regular boundary and is a natural boundary. More precisely, we not only give a necessary and sufficient condition for the existence of a QSD, but we also construct all QSDs for one-dimensional diffusions. Moreover, we give a sufficient condition for -positivity of the process killed at the origin. This condition is only based on the drift, which is easy to check.
Keywords
Cite
@article{arxiv.1409.8067,
title = {Existence and construction of quasi-stationary distributions for one-dimensional diffusions},
author = {Hanjun Zhang and Guoman He},
journal= {arXiv preprint arXiv:1409.8067},
year = {2015}
}
Comments
9 pages. This paper is published in Journal of Mathematical Analysis and Applications (2016)