Asymptotic behavior of the transition density of an ergodic linear diffusion (Q713086)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Asymptotic behavior of the transition density of an ergodic linear diffusion |
scientific article |
Statements
Asymptotic behavior of the transition density of an ergodic linear diffusion (English)
0 references
26 October 2012
0 references
The author considers a regular conservative diffusion \(X=(X_t)_{t\geq 0}\) on an interval \(I\subset\mathbb{R}\), with a local generator of the form \[ {\mathcal L}=\displaystyle\frac{d}{dm(x)}\displaystyle\frac{d}{ds(x)},\quad x\in I, \] where \(s(x)\) is an increasing and continuous function, and \(dm\) is a nonnegative Radon measure on \(I\). If \(p(t,x,y)\) is the transition density with respect to \(dm(x)\), then, following [\textit{A. N. Borodin} and \textit{P. Salminen}, Handbook of Brownian motion: facts and formulae. 2nd ed. Basel: Birkhäuser (2002; Zbl 1012.60003)], for every \((x,y)\in I\times I\), \[ \displaystyle\lim_{t\to\infty}p(t,x,y)=\displaystyle\frac{1}{\hat m}, \tag{\(*\)} \] where \[ \hat m=\displaystyle\int_Idm(x)\leq\infty. \] The author evaluates the rate of convergence in the relation \((*)\) for \(\hat m<\infty\). A similar problem for the bilateral case (\(I=(-\infty,\infty)\)) is also investigated.
0 references
diffusion
0 references
transition density
0 references
Krein's correspondence
0 references
Tauberian theorem
0 references