Stability in distribution for a class of singular diffusions (Q1184090): Difference between revisions

The authors derive criteria for the stability in distribution of the diffusion \[ X^x(t) = x + \int_0^t BX^x(s)\,ds + \int_0^t \sigma(X^x(s))\,dW(s), \] where \(x\in\mathbb{R}^k\), \(\sigma(\cdot)\) is a Lipschitzian \((k\times l)\) matrix-valued function on \(\mathbb{R}^k\), and \(\sigma(x)\sigma(x)'\) is singular for some \(x\) (here primarily \(x\ne 0\)) [cf. \textit{R. Z. Khas'minskiĭ}, Stochastic stability of differential equations. Alphen: Sijthoff \& Noordhoff (1980; Zbl 0441.60060), Chapter 6]. It is proved that tightness of \(\{p(t;x,dy),\;t\geq 0\}\) and asymptotic flatness of the stochastic flow yield the stability in distribution of the singular diffusion. When applied to nonsingular cases, the criteria proposed here are more effective than Khas'minskiĭ's. When applied to nonlinear diffusion, a sufficient condition for \(X^x_t\to x^*\) (trap) a.s., as \(t\to\infty\), is also given which supplements Khas'minskiĭ's result for linear diffusion.