Quasistationary distributions for one-dimensional diffusions with singular boundary points

Schrödinger operator, Schrödinger equation (35J10) General topics in linear spectral theory for PDEs (35P05) General theory of partial differential operators (47F05) Elliptic equations on manifolds, general theory (58J05) Diffusion processes and stochastic analysis on manifolds (58J65) Diffusion processes (60J60)

Abstract: In the present work we characterize the existence of quasistationary distributions for diffusions on

(0, i n f t y)

allowing singular behavior at

0

and

i n f t y

. If absorption at 0 is certain, we show that there exists a quasistationary distribution as soon as the spectrum of the generator is strictly positive. This complements results of Collet et al. (Ann. Probab. 2009) and Kolb and Steinsaltz (Ann. Probab. 2012) for

0

being a regular boundary point and extends results by Collet et al. (Ann. Probab. 2009) on singular diffusions.

Review text

This paper treats the characterization of the existence of quasi-stationary distribution for diffusions on \((0, \infty)\) allowing singular behavior at 0 and \(\infty\). It is shown that, for the sure case of absorption at 0, there exists a quasi-stationary distribution as soon as the spectrum of the generator is strictly positive. This result complements results obtained by \textit{P. Cattiaux} et al. [Ann. Probab. 37, No. 5, 1926--1969 (2009; Zbl 1176.92041)] and \textit{M. Kolb} and \textit{D. Steinsaltz} [Ann. Probab. 40, No. 1, 162--212 (2012; Zbl 1278.60121)] for 0 being a regular boundary point. Moreover, this result also extends results obtained by Cattiaux et al. [loc. cit.] in the above, on singular diffusions. More precisely, the authors consider the one-dimensional diffusion \(( X_t )\), \(t \geq 0\), that is the solution to the stochastic differential equation \[ d X_t = d B_t - b(X_t) dt, \] where \(( B_t)\), \(t \geq 0\), is a standard one-dimensional Brownian motion and \(b\) : \((0, \infty) \to\mathbb{R}\) is the drift. Assume that the drift \(b\) is continuously differentiable on \((0, \infty)\), namely, \(b \in C^1(0, \infty)\). The first hitting time of 0 by \(( X_t )\), \(t \geq 0\), defined by \[ T_0 := \inf \{ \, t \geq 0: \,\, X_t = 0 \, \}. \] The density of the speed measure of (1) is given by \[ \rho(x) :=\exp \left\{ - \int_1^x \, 2 b(s) \, ds \, \right\}, \quad x \in (0, \infty). \] When \(\nu\) is a probability measure on \((0, \infty)\), then the Yaglom limit of \(( X_t )\), \(t \geq 0\), is defined by \[ \lim_{ t \to \infty} \, {\mathbb P}^{\nu} ( \, X_t \in ( \cdot ) \, \vert \, T_0 > t \, ). \] Assumption 1. Let \(z \in (0, \infty)\) and \(t > 0\). Then \[ e^{- t L} \mathbf{1}_{[0,z]} \in L^2( (0, \infty), \rho) \] and \[ \lim_{ \varepsilon \to 0} \, e^{-t L} \,\mathbf{1}_{ [ \varepsilon, z] } = e^{- t L} \, \mathbf{1}_{ [0,z]} \] in \[ L^2( (0, \infty), \rho) := \{ \, f : (0, \infty) \to {\mathbb R}; \,\, f \,\, \text{is measurable and satisfies} \,\, \int_0^{\infty} \, \vert f(x) \vert^2 \, \rho( dx) \, < \infty\, \}. \] The followings are the main results of this paper. Theorem 2. Suppose that 0 is an exit boundary, and \(\infty\) is a natural boundary. Under Assumption 1 we have the following classification: (i) If absorption is not certain and \(\lambda_0 > 0\), then \(( X_t ), t \geq 0\) escapes to infinity exponentially fast. (ii) If absorption is certain and \(\lambda_0 > 0\), then \(( X_t ), t \geq 0\) converges to a quasi-stationary distribution. This quasi-stationary distribution is the unique Yaglom limit and it attracts all the compactly supported initial distributions of \(X_0\). Theorem 3. If 0 is an exit boundary and \(\infty\) is an entrance boundary, then \(\lambda_0 > 0\) and \(( X_t )\), \(t \geq 0\), converges to the unique quasi-stationary distribution.

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