Polynomial rate of convergence to the Yaglom limit for Brownian motion with drift

DOI10.1214/20-ECP315zbMATH Open1434.60012arXiv1911.03693MaRDI QIDQ2183138FDOQ2183138

Authors: William Oçafrain 

Publication date: 26 May 2020

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: This paper deals with the rate of convergence in 1-Wasserstein distance of the marginal law of a Brownian motion with drift conditioned not to have reached 0 towards the Yaglom limit of the process. In particular it is shown that, for a wide class of initial measures including Dirac measures and probability measures with compact support, the Wasserstein distance decays asymptotically as 1/t. Likewise, this speed of convergence is recovered for the convergence of marginal laws conditioned not to be absorbed up to a horizon time towards the Bessel-$3$ process, when the horizon time tends to infinity.

Full work available at URL: https://arxiv.org/abs/1911.03693

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zbMATH Keywords

rate of convergencequasi-stationary distributionYaglom limitBrownian motion with drift\(1\)-Wasserstein distanceBessel-\(3\) process

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Brownian motion (60J65) Ergodicity, mixing, rates of mixing (37A25)

Cites Work

• Quasi-stationary distributions and population processes
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• More on the long time stability of Feynman-Kac semigroups
• A note on speed of convergence to the quasi-stationary distribution

Cited In (5)

• Quasi-Limiting Behavior of Drifted Brownian Motion
• Convergence to quasi-stationarity through Poincaré inequalities and Bakry-Émery criteria
• Renewal dynamical approach for non-minimal quasi-stationary distributions of one-dimensional diffusions
• Exponential convergence to a quasi-stationary distribution for birth–death processes with an entrance boundary at infinity
• Existence and uniqueness of quasi-stationary and quasi-ergodic measures for absorbing Markov chains: a Banach lattice approach

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