Quasistationary distributions for one-dimensional diffusions with killing

DOI10.1090/S0002-9947-06-03980-8MaRDI QIDQ3420271zbMATH OpenFDO

Authors David Steinsaltz, Steven Neil Evans

Publication date 1 February 2007

Published in Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0406052

Mathematics Subject Classification ID

Diffusion processes (60J60)

Abstract: We extend some results on the convergence of one-dimensional diffusions killed at the boundary, conditioned on extended survival, to the case of general killing on the interior. We show, under fairly general conditions, that a diffusion conditioned on long survival either runs off to infinity almost surely, or almost surely converges to a quasistationary distribution given by the lowest eigenfunction of the generator. In the absence of internal killing, only a sufficiently strong inward drift can keep the process close to the origin, to allow convergence in distribution. An alternative, that arises when general killing is allowed, is that the conditioned process is held near the origin by a high rate of killing near infinity. We also extend, to the case of general killing, the standard result on convergence to a quasistationary distribution of a diffusion on a compact interval.

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