Rates of decay and \(h\)-processes for one dimensional diffusions conditioned on non-absorption (Q5937303): Difference between revisions

Let \(X= (X_t)_{t\geq 0}\) be a one-dimensional diffusion with start at \(x>0\), operator \({\mathcal L}= {1\over 2}\partial_{xx}- \alpha(x)\partial_x\) and hitting time \(T_0\) of \(0\). If \(\psi\) is a solution of \({\mathcal L}\psi= -\lambda\psi\), then the distribution of the \(h\)-process induced by \(\psi\) can be obtained from \(\lim_{n\to\infty} P_x(X\in\cdot\mid S_n< T_0)\) for a suitable sequence \((S_n)_{n\in\mathbb{N}}\) of stopping times related to \(\psi\).