Uniform convergence of conditional distributions for absorbed one-dimensional diffusions
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absorbed processone-dimensional diffusionone-dimensional process with jumpsquasi-stationary distributionstrict local martingaleuniform exponential mixing property
Ergodicity, mixing, rates of mixing (37A25) Convergence of probability measures (60B10) Limit theorems in probability theory (60F99) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Jump processes on general state spaces (60J76)
Abstract: This article studies the quasi-stationary behaviour of absorbed one-dimensional diffusions. We obtain necessary and sufficient conditions for the exponential convergence to a unique quasi-stationary distribution in total variation, uniformly with respect to the initial distribution. An important tool is provided by one dimensional strict local martingale diffusions coming down from infinity. We prove under mild assumptions that their expectation at any positive time is uniformly bounded with respect to the initial position. We provide several examples and extensions, including the sticky Brownian motion and some one-dimensional processes with jumps.
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