A conditional limit theorem for generalized diffusion processes
Li, Zenghu ; Shiga, Tokuzo ; Tomisaki, Matsuyo
J. Math. Kyoto Univ., Tome 43 (2003) no. 4, p. 567-583 / Harvested from Project Euclid
Let $\mathbf{X} = \{ X(t) :t \leq 0\}$ be a one-dimensional generalized diffusion process with initial state $X(0) > 0$, hitting time $\tau _{\mathbf{X}}(0)$ at the origin and speed measure m which is regularly varying at infinity with exponent $1/\alpha -1 > 0$. It is proved that, for a suitable function $u(c)$, the probability law of $\{ u(c)^{-1}X(ct) : 0 < t \leq 1\}$ conditioned by $\{\tau _{\mathbf{X}}(0) > c \}$ converges as $c \to \infty$ to the conditioned $2(1-\alpha )$-dimensional Bessel excursion on natural scale and that the latter is equivalent to the $2(1-\alpha )$-dimensional Bessel meander up to a scale transformation. In particular, the distribution of $u(c)^{-1}X(c)$ converges to the Weibull distribution. From the conditional limit theorem we also derive a limit theorem for some of regenerative process associated with $\mathbf{X}$.
Publié le : 2003-05-15
Classification:  60J60,  60J25
@article{1250283695,
     author = {Li, Zenghu and Shiga, Tokuzo and Tomisaki, Matsuyo},
     title = {A conditional limit theorem for generalized diffusion processes},
     journal = {J. Math. Kyoto Univ.},
     volume = {43},
     number = {4},
     year = {2003},
     pages = { 567-583},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1250283695}
}
Li, Zenghu; Shiga, Tokuzo; Tomisaki, Matsuyo. A conditional limit theorem for generalized diffusion processes. J. Math. Kyoto Univ., Tome 43 (2003) no. 4, pp.  567-583. http://gdmltest.u-ga.fr/item/1250283695/