Quasi-limiting behavior of drifted Brownian motion

zbMATH Open1494.60083arXiv2001.04523MaRDI QIDQ5093992FDOQ5093992

Authors: Iddo Ben-Ari, Sang-Joon Lee 

Publication date: 2 August 2022

Abstract: A Quasi-Stationary Distribution (QSD)for a Markov process with an almost surely hit absorbing state is a time-invariant initial distribution for the process conditioned on not being absorbed by any given time. An initial distribution for the process is in the domain of attraction of some QSD $u$ if the distribution of the process a time $t$, conditioned not to be absorbed by time $t$ converges to $u$. In this work study mostly Brownian motion with constant drift on the half line $[0,infty)$ absorbed at $0$. Previous work by Martinez et al. identifies all QSDs and provides a nearly complete characterization for their domain of attraction. Specifically, it was shown that if the distribution a well-defined exponential tail (including the case of lighter than any exponential tail), then it is in the domain of attraction of a QSD determined by the exponent. In this work we 1. Obtain a new approach to existing results, explaining the direct relation between a QSD and an initial distribution in its domain of attraction. 2. Study the behavior under a wide class of initial distributions whose tail is heavier than exponential, and obtain no-trivial limits under appropriate scaling.

Full work available at URL: https://arxiv.org/abs/2001.04523

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zbMATH Keywords

Brownian motiondomain of attractionheavy-tailed distributionsquasistationary distribution

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Brownian motion (60J65) Limit theorems in probability theory (60F99) Transition functions, generators and resolvents (60J35)

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Cited In (1)

• Quasi-stationary distributions for a Brownian motion with drift and associated limit laws

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