Uniform convergence of conditional distributions for one-dimensional diffusion processes

MaRDI QIDQ6408224zbMATH OpenFDO

Authors Guoman He, Hanjun Zhang

Publication date 18 August 2022

Mathematics Subject Classification ID

Ergodicity, mixing, rates of mixing (37A25) Convergence of probability measures (60B10) Diffusion processes (60J60)

Abstract: In this paper, we study the quasi-stationary behavior of the one-dimensional diffusion process with 0 a regular or exit boundary and $infty$ an entrance boundary. By using the Doob's $h$-transform, we show that the distribution of the process converges exponentially fast in the total variation norm to its unique quasi-stationary distribution, uniformly with respect to the initial distribution. In addition, we also show that starting from any initial distribution the conditional probability converges to the unique quasi-stationary distribution exponentially fast in the $psi$-norm.

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