ASYMPTOTIC LAWS FOR ONE-DIMENSIONAL DIFFUSIONS CONDITIONED TO NONABSORPTION
成果类型：
Article
署名作者：
COLLET, P; MARTINEZ, S; SANMARTIN, J
署名单位：
Universidad de Chile
刊物名称：
ANNALS OF PROBABILITY
ISSN/ISSBN：
0091-1798
DOI：
10.1214/aop/1176988185
发表日期：
1995
页码：
1300-1314
关键词：
摘要：
If (X(t)) is a one-dimensional diffusion corresponding to the operator L = 1/2 partial derivative(xx) - alpha partial derivative(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: For All s > 0, For All Alpha is an element of f(s), lim(t-->infinity)P(x)(X is an element of Alpha\T-0 > t). We characterize this limit as the distribution of an h-like process, h satisfying Lh = - eta h, h(0) = 0, h'(0) = 1, where eta = -lim(t-->infinity)(1/t)logP(x)(T-0 > t). Moreover, we show that this parameter eta can only take two values: eta = 0 Or eta = lambda, where lambda is the smallest point of increase of the spectral distribution of the operator l* = 1/2 partial derivative(xx) + partial derivative(x)(alpha .).