Weak convergence of h-transforms for one-dimensional diffusions

Kouji Yano, Yuko Yano and Ju-Yi Yen

Statistics & Probability Letters, 2017, vol. 122, issue C, 152-156

Abstract: It is proved that the h-transform of the killed process for one-dimensional diffusions with respect to the scale function is weakly continuous with respect to the starting point. A similar result is obtained for its bridges.

Keywords: Excursion theory; Itô measure; Weak convergence (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spl.2016.11.007

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