A conditional limit theorem for generalized diffusion processes
Consider a one-dimensional generalized diffusion process \( X=\{X(t):t\geq 0\} \). Suppose that \(X(0)>0\), and define \(\tau_ X(0)=\inf\{t\geq 0:X(t)=0\}\). The authors show that, for a suitable scale function \(u(c)\), the distribution of \(\{u(c)^{-1}X(ct):0<t\leq 1\}\) conditioned on \(\{\tau_X(0)>c\}\) converges as \(c\to\infty\); the limit can be characterized in terms of the Bessel excursion and the Bessel meander. The conditional distribution of \(u(c)^ {-1}X(c)\) is shown to converge to the Weibull distribution. The authors also prove a limit theorem for some regenerative processes associated with \(X\).
- Asymptotic conditional distributions related to one-dimensional generalized diffusion processes
- Limit theorems for a conditional random walk
- Time change approach to generalized excursion measures, and its application to limit theorems
- Limit theorems for transient diffusions on the line
- Limit theorems for hitting times of 1-dimensional generalized diffusions
- Convergence of excursion point processes and its applications to functional limit theorems of Markov processes on a half-line
- Limit theorems for generalized Jiřina processes
- Gaussian limit theorems for diffusion processes and an application
- Time change approach to generalized excursion measures, and its application to limit theorems
- scientific article; zbMATH DE number 1995703 (Why is no real title available?)
- scientific article; zbMATH DE number 1767707 (Why is no real title available?)
- A Weak Limit Theorem for Generalized Jiřina Processes
- Limit theorems for transient diffusions on the line
- Asymptotic conditional distributions related to one-dimensional generalized diffusion processes
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