Killed diffusions and their conditioning (Q1094760): Difference between revisions

Let \(X=(X_ t)_{t\geq 0}\) be a diffusion determined by an elliptic differential operator L in \(R^ n(n\geq 1)\). For any bounded \(C^{1,1}\) domain D, we define the conditional killed diffusion \(X^{\phi}\) on D by the semigroup: \[ T_ t^{\phi}f(x)=\phi _ 0(x)^{-1}E_ x[f(X_ t)\phi _ 0(X_ t),\tau _ D>t]e^{\lambda _ 0t}\quad (t>0) \] where \(\lambda _ 0\) and \(\phi _ 0\) are the principle eigenvalue and eigenfunction, respectively, of L on D with the Dirichlet boundary condition. In this paper, we prove that \(X^{\phi}\) is a strong Feller process on D and that \(\{T_ t^{\phi}\}\) is strongly continuous on C(\=D). For any \(T>0\) we consider the conditioned process \(X^ T\), i.e. the process X in D conditioned on \(\{\tau _ D>T\}\), and prove that \(X^ T\) converges weakly to \(X^{\phi}\) as \(T\to \infty\) without any additional hypotheses.