Quasistationary distributions for one-dimensional diffusions with singular boundary points

Alexandru Hening; Martin Kolb

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arXiv · 1409.2387

Quasistationary distributions for one-dimensional diffusions with singular boundary points

Alexandru Hening·Martin Kolb

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Abstract

In the present work we characterize the existence of quasistationary distributions for diffusions on $(0,\infty)$ allowing singular behavior at $0$ and $\infty$. If absorption at 0 is certain, we show that there exists a quasistationary distribution as soon as the spectrum of the generator is strictly positive. This complements results of Collet et al. (Ann. Probab. 2009) and Kolb and Steinsaltz (Ann. Probab. 2012) for $0$ being a regular boundary point and extends results by Collet et al. (Ann. Probab. 2009) on singular diffusions.

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BibTeX RIS

Alexandru Hening, Martin Kolb. 2014-09-08. Quasistationary distributions for one-dimensional diffusions with singular boundary points. https://arxiv.org/abs/1409.2387

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