Asymptotic behavior of the transition density of an ergodic linear diffusion (Q713086)

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Asymptotic behavior of the transition density of an ergodic linear diffusion
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    Asymptotic behavior of the transition density of an ergodic linear diffusion (English)
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    26 October 2012
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    The author considers a regular conservative diffusion \(X=(X_t)_{t\geq 0}\) on an interval \(I\subset\mathbb{R}\), with a local generator of the form \[ {\mathcal L}=\displaystyle\frac{d}{dm(x)}\displaystyle\frac{d}{ds(x)},\quad x\in I, \] where \(s(x)\) is an increasing and continuous function, and \(dm\) is a nonnegative Radon measure on \(I\). If \(p(t,x,y)\) is the transition density with respect to \(dm(x)\), then, following [\textit{A. N. Borodin} and \textit{P. Salminen}, Handbook of Brownian motion: facts and formulae. 2nd ed. Basel: Birkhäuser (2002; Zbl 1012.60003)], for every \((x,y)\in I\times I\), \[ \displaystyle\lim_{t\to\infty}p(t,x,y)=\displaystyle\frac{1}{\hat m}, \tag{\(*\)} \] where \[ \hat m=\displaystyle\int_Idm(x)\leq\infty. \] The author evaluates the rate of convergence in the relation \((*)\) for \(\hat m<\infty\). A similar problem for the bilateral case (\(I=(-\infty,\infty)\)) is also investigated.
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    diffusion
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    transition density
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    Krein's correspondence
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    Tauberian theorem
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