Transient one-dimensional diffusions conditioned to converge to a different limit point

DOI10.1016/J.SPL.2015.12.011zbMATH Open1336.60156arXiv1510.00273OpenAlexW2962922093MaRDI QIDQ273696FDOQ273696

Authors: Alexandru Hening 

Publication date: 22 April 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: Let $(X_t{)}_{tgeq0}$ be a regular one-dimensional diffusion that models a biological population. If one assumes that the population goes extinct in finite time it is natural to study the $Q$-process associated to $(X_t{)}_{tgeq0}$. This is the process one gets by conditioning $(X_t{)}_{tgeq0}$ to survive into the indefinite future. The motivation for this paper comes from looking at populations that are modeled by diffusions which do not go extinct in finite time but which go `extinct asymptotically' as $tightarrowinfty$. We look at transient one-dimensional diffusions $(X_t{)}_{tgeq0}$ with state space $I=(ell,infty)$ such that $X_{t}ightarrowell$ as $tightarrowinfty$, $mathbb{P}^x$-almost surely for all $xinI$. We `condition' $(X_t{)}_{tgeq0}$ to go to $infty$ as $tightarrowinfty$ and show that the resulting diffusion is the Doob $h$-transform of $(X_t{)}_{tgeq0}$ with $h=s$ where $s$ is the scale function of $(X_t{)}_{tgeq0}$. Finally, we explore what this conditioning does in two examples.

Full work available at URL: https://arxiv.org/abs/1510.00273

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zbMATH Keywords

conditioning\(Q\)-processbiological populationdiffusionsDoob \(h\)-transform

Mathematics Subject Classification ID

Diffusion processes (60J60) Population dynamics (general) (92D25)

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Cited In (2)

• Path transformations for local times of one-dimensional diffusions
• Transcritical bifurcation for the conditional distribution of a diffusion process

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