 Q-processes and asymptotic properties of Markov processes conditioned not to hit moving boundariesWilliam Oçafrain Stochastic Processes and their Applications, 2020, vol. 130, issue 6, 3445-3476 Abstract: We investigate some asymptotic properties of general Markov processes conditioned not to be absorbed by the moving boundaries. We first give general criteria involving an exponential convergence towards the Q-process, that is the law of the considered Markov process conditioned never to reach the moving boundaries. This exponential convergence allows us to state the existence and uniqueness of the quasi-ergodic distribution considering either boundaries moving periodically or stabilizing boundaries. We also state the existence and uniqueness of a quasi-limiting distribution when absorbing boundaries stabilize. We finally deal with some examples such as diffusions which are coming down from infinity. Keywords: Q-process; Quasi-limiting distribution; Quasi-ergodic distribution; Moving boundaries; One-dimensional diffusion processes (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:130:y:2020:i:6:p:3445-3476 Ordering information: This journal article can be ordered from DOI: 10.1016/j.spa.2019.09.019 Access Statistics for this article Stochastic Processes and their Applications is currently edited by T. Mikosch More articles in Stochastic Processes and their Applications from Elsevier |
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