Transient one-dimensional diffusions conditioned to converge to a different limit point

<a class="pub-badge pub-badge--doi" href="https://doi.org/10.1016/J.SPL.2015.12.011" rel="nofollow">DOI 10.1016/J.SPL.2015.12.011</a><a class="pub-badge pub-badge--grey" href="https://zbmath.org/1336.60156" rel="nofollow">zbMATH</a><a class="pub-badge pub-badge--grey" href="https://openalex.org/works/W2962922093" rel="nofollow">OpenAlex</a><a class="pub-badge pub-badge--mardi" href="https://portal.mardi4nfdi.de/wiki/Item:Q273696" rel="nofollow">MaRDI QID Q273696</a><a class="pub-badge pub-badge--grey" href="https://fdo.portal.mardi4nfdi.de/fdo/Q273696" rel="nofollow">FDO</a>

Authors Alexandru Hening

Publication date 22 April 2016

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1510.00273

zbMATH Keywords

conditioning\(Q\)-processbiological populationdiffusionsDoob \(h\)-transform

Mathematics Subject Classification ID

Diffusion processes (60J60) Population dynamics (general) (92D25)

Abstract: Let $(X_t{)}_{tgeq0}$ be a regular one-dimensional diffusion that models a biological population. If one assumes that the population goes extinct in finite time it is natural to study the $Q$-process associated to $(X_t{)}_{tgeq0}$. This is the process one gets by conditioning $(X_t{)}_{tgeq0}$ to survive into the indefinite future. The motivation for this paper comes from looking at populations that are modeled by diffusions which do not go extinct in finite time but which go `extinct asymptotically' as $tightarrowinfty$. We look at transient one-dimensional diffusions $(X_t{)}_{tgeq0}$ with state space $I=(ell,infty)$ such that $X_{t}ightarrowell$ as $tightarrowinfty$, $mathbb{P}^x$-almost surely for all $xinI$. We `condition' $(X_t{)}_{tgeq0}$ to go to $infty$ as $tightarrowinfty$ and show that the resulting diffusion is the Doob $h$-transform of $(X_t{)}_{tgeq0}$ with $h=s$ where $s$ is the scale function of $(X_t{)}_{tgeq0}$. Finally, we explore what this conditioning does in two examples.

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Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 1515832 (Why is no real title available?)
• scientific article; zbMATH DE number 3447884 (Why is no real title available?)
• Asymptotic laws for one-dimensional diffusions conditioned to nonabsorption
• Conditioned martingales
• Markov Processes, Brownian Motion, and Time Symmetry
• Markov processes conditioned on their location at large exponential times
• Population Dynamics and Random Genealogies
• Protected polymorphisms and evolutionary stability of patch-selection strategies in stochastic environments
• Quasi-stationary distributions and diffusion models in population dynamics
• Stochastic population growth in spatially heterogeneous environments

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(3)

• Transcritical bifurcation for the conditional distribution of a diffusion process
• Path transformations for local times of one-dimensional diffusions
• On \(h\)-transforms of one-dimensional diffusions stopped upon hitting zero

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