English

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 ++\infty 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 RR-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)