Quasistationary distributions for one-dimensional diffusions with two singular boundary points

A. Hening, M. Kolb, Stochastic Processes and Their Applications 129 (2019) 1659–1696.

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Journal Article | Published | English
Author
Hening, Alexandru; Kolb, Martin
Department
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 Collet et al. and Kolb/Steinsaltz for 0 being a regular boundary point and extends results by Collet et al. on singular diffusions. We also study the existence and uniqueness of quasistationary distributions for a class of one-dimensional diffusions with killing that arise from a biological example and which have two inaccessible boundary points (more specifically 0 is natural and ∞ is entrance).
Publishing Year
Journal Title
Stochastic Processes and their Applications
Volume
129
Issue
5
Page
1659-1696
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Cite this

Hening A, Kolb M. Quasistationary distributions for one-dimensional diffusions with two singular boundary points. Stochastic Processes and their Applications. 2019;129(5):1659-1696. doi:http://dx.doi.org/10.1016/j.spa.2018.05.012
Hening, A., & Kolb, M. (2019). Quasistationary distributions for one-dimensional diffusions with two singular boundary points. Stochastic Processes and Their Applications, 129(5), 1659–1696. http://dx.doi.org/10.1016/j.spa.2018.05.012
@article{Hening_Kolb_2019, title={Quasistationary distributions for one-dimensional diffusions with two singular boundary points}, volume={129}, DOI={http://dx.doi.org/10.1016/j.spa.2018.05.012}, number={5}, journal={Stochastic Processes and their Applications}, publisher={Bernoulli Society for Mathematical Statistics and Probability}, author={Hening, Alexandru and Kolb, Martin}, year={2019}, pages={1659–1696} }
Hening, Alexandru, and Martin Kolb. “Quasistationary Distributions for One-Dimensional Diffusions with Two Singular Boundary Points.” Stochastic Processes and Their Applications 129, no. 5 (2019): 1659–96. http://dx.doi.org/10.1016/j.spa.2018.05.012.
A. Hening and M. Kolb, “Quasistationary distributions for one-dimensional diffusions with two singular boundary points,” Stochastic Processes and their Applications, vol. 129, no. 5, pp. 1659–1696, 2019, doi: http://dx.doi.org/10.1016/j.spa.2018.05.012.
Hening, Alexandru, and Martin Kolb. “Quasistationary Distributions for One-Dimensional Diffusions with Two Singular Boundary Points.” Stochastic Processes and Their Applications, vol. 129, no. 5, Bernoulli Society for Mathematical Statistics and Probability, 2019, pp. 1659–96, doi:http://dx.doi.org/10.1016/j.spa.2018.05.012.

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