Asymptotic Laws for One-Dimensional Diffusions Conditioned to Nonabsorption
Collet, Pierre ; Martinez, Servet ; Martin, Jaime San
Ann. Probab., Tome 23 (1995) no. 3, p. 1300-1314 / Harvested from Project Euclid
If $(X_t)$ is a one-dimensional diffusion corresponding to the operator $\mathscr{L} = \frac{1}{2}\partial_{xx} - \alpha\partial_x$ starting from $x > 0$ and $T_a$ is the hitting time of $a$, we prove that under suitable conditions on the drift coefficient the following limit exists: $\forall s > 0, \forall A \in \mathscr{F}_s, \lim_{t\rightarrow\infty} \mathbb{P}_x(X \in A\mid T_0 > t)$. We characterize this limit as the distribution of an $h$-like process, $h$ satisfying $\mathscr{L}h = - \eta h, h(0) = 0, h'(0) = 1$, where $\eta = -\lim_{t\rightarrow\infty}(1/t)\log\mathbb{P}_x(T_0 > t)$. Moreover, we show that this parameter $\eta$ can only take two values: $\eta = 0$ or $\eta = \underline{\lambda}$, where $\underline{\lambda}$ is the smallest point of increase of the spectral distribution of the operator $\mathscr{L}^\ast = \frac{1}{2}\partial_{xx} + \partial_x(\alpha\cdot)$.
Publié le : 1995-07-14
Classification:  One-dimensional diffusions,  $h$-processes,  absorption,  60J60,  60F99
@article{1176988185,
     author = {Collet, Pierre and Martinez, Servet and Martin, Jaime San},
     title = {Asymptotic Laws for One-Dimensional Diffusions Conditioned to Nonabsorption},
     journal = {Ann. Probab.},
     volume = {23},
     number = {3},
     year = {1995},
     pages = { 1300-1314},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176988185}
}
Collet, Pierre; Martinez, Servet; Martin, Jaime San. Asymptotic Laws for One-Dimensional Diffusions Conditioned to Nonabsorption. Ann. Probab., Tome 23 (1995) no. 3, pp.  1300-1314. http://gdmltest.u-ga.fr/item/1176988185/