Quasi-stationarity for one-dimensional renormalized Brownian motion

DOI10.1051/PS/2020012MaRDI QIDQ5140336zbMATH OpenOpenAlexFDO

Authors William Oçafrain

Publication date 15 December 2020

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1809.07547

zbMATH Keywords

\(Q\)-processBrownian motionquasi-ergodic distributionquasi-limiting distributionquasi-stationary distribution

Mathematics Subject Classification ID

Probability measures on topological spaces (60B05) Probability distributions: general theory (60E05) Limit theorems in probability theory (60F99) Boundary theory for Markov processes (60J50) Brownian motion (60J65)

Abstract: We are interested in the quasi-stationarity of the time-inhomogeneous Markov process X t = B t (t + 1) $kappa$ where (B t) t$ge$0 is a one-dimensional Brownian motion and $kappa$ $in$ (0, $infty$). We first show that the law of X t conditioned not to go out from (--1, 1) until the time t converges weakly towards the Dirac measure $delta$ 0 when $kappa$ > 1 2 as t goes to infinity. Then we show that this conditioned probability converges weakly towards the quasi-stationary distribution of an Ornstein-Uhlenbeck process when $kappa$ = 1 2. Finally, when $kappa$ < 1 2 , it is shown that the conditioned probability converges towards the quasi-stationary distribution of a Brownian motion. We also prove the existence of a Q-process and a quasi-ergodic distribution for $kappa$ = 1 2 and $kappa$ < 1 2 .

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Cited in

(3)

• Quasi-stationary distributions for the radial Ornstein-Uhlenbeck processes
• Quasi-stationary distributions for a Brownian motion with drift and associated limit laws
• The Hairer--Quastel universality result in equilibrium

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