Transient one-dimensional diffusions conditioned to converge to a different limit point

Alexandru Hening

Statistics & Probability Letters, 2016, vol. 110, issue C, 62-73

Abstract: Let (Xt)t≥0 be a regular one-dimensional diffusion that models a biological population. If one assumes that the population goes extinct in finite time it is natural to study the Q-process associated to (Xt)t≥0. This is the process one gets by conditioning (Xt)t≥0 to survive into the indefinite future.

Keywords: Diffusion; Conditioning; Q-process; Doob h-transform (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1016/j.spl.2015.12.011

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