Quasistationary distributions for one-dimensional diffusions with singular boundary points

Alexandru Hening and Martin Kolb

Stochastic Processes and their Applications, 2019, vol. 129, issue 5, 1659-1696

Abstract: In the present work we characterize the existence of quasistationary distributions for diffusions on (0,∞) allowing singular behavior at 0 and ∞. 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 Cattiaux et al. (2009) and Kolb and Steinsaltz (2012) for 0 being a regular boundary point and extends results by Cattiaux et al. (2009) on singular diffusions.

Keywords: One-dimensional diffusion; Quasistationary distribution; Yaglom limit; Q process (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:129:y:2019:i:5:p:1659-1696

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DOI: 10.1016/j.spa.2018.05.012

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