Rates of decay and \(h\)-processes for one dimensional diffusions conditioned on non-absorption (Q5937303): Difference between revisions
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Latest revision as of 09:46, 30 July 2024
scientific article; zbMATH DE number 1618871
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English | Rates of decay and \(h\)-processes for one dimensional diffusions conditioned on non-absorption |
scientific article; zbMATH DE number 1618871 |
Statements
Rates of decay and \(h\)-processes for one dimensional diffusions conditioned on non-absorption (English)
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6 September 2001
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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 \(\psi\).
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one-dimensional diffusions
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\(h\)-processes
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absorption
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