Existence and construction of quasi-stationary distributions for one-dimensional diffusions

DOI10.1016/J.JMAA.2015.09.010zbMATH Open1330.60101arXiv1409.8067OpenAlexW2100233733MaRDI QIDQ890495FDOQ890495

Authors: Hanjun Zhang, Guoman He 

Publication date: 10 November 2015

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Abstract: In this paper, we study quasi-stationary distributions (QSDs) for one-dimensional diffusions killed at 0, when 0 is a regular boundary and $+infty$ is a natural boundary. More precisely, we not only give a necessary and sufficient condition for the existence of a QSD, but we also construct all QSDs for one-dimensional diffusions. Moreover, we give a sufficient condition for $R$-positivity of the process killed at the origin. This condition is only based on the drift, which is easy to check.

Full work available at URL: https://arxiv.org/abs/1409.8067

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zbMATH Keywords

one-dimensional diffusionsquasi-stationary distributionsnatural boundary\(R\)-positivity

Mathematics Subject Classification ID

Diffusion processes (60J60) Distribution theory (60E99)

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Cited In (13)

• Domain of attraction of quasi-stationary distribution for absorbing Markov processes
• On quasi-ergodic distribution for one-dimensional diffusions
• Domain of attraction of quasi-stationary distribution for one-dimensional diffusions
• Strongly quasi-mixing properties for one-dimensional diffusion processes with killing
• Quasistationary distributions for one-dimensional diffusions with singular boundary points
• Quasilimiting behavior for one-dimensional diffusions with killing
• Concentration of quasi-stationary distributions for one-dimensional diffusions with applications
• Existence of quasi-stationary distributions for spectrally positive Lévy processes on the half-line
• Renewal dynamical approach for non-minimal quasi-stationary distributions of one-dimensional diffusions
• Quasi-stationary distributions of one-dimensional generalized diffusions without natural boundaries
• A unifying approach to non-minimal quasi-stationary distributions for one-dimensional diffusions
• Constructions and generators of one-dimensional quasidiffusions with applications to selfaffine diffusions and brownian motion on the cantor Set
• Quasistationary distributions for one-dimensional diffusions with killing

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