IECL - Institut Élie Cartan de Lorraine (Université de Lorraine, Boulevard des Aiguillettes BP 70239 54506 Vandoeuvre-les-Nancy Cedex
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Abstract : This article studies the quasi-stationary behaviour of absorbed one-dimensional diffusion processes with killing on [0, ∞). We obtain criteria for the exponential convergence to a unique quasi-stationary distribution in total variation, uniformly with respect to the initial distribution. Our approach is based on probabilistic and coupling methods, contrary to the classical approach based on spectral theory results. Our general criteria apply in the case where ∞ is entrance and 0 either regular or exit, and are proved to be satisfied under several explicit assumptions expressed only in terms of the speed and killing measures. We also obtain exponential ergodicity results on the Q-process. We provide several examples and extensions, including diffusions with singular speed and killing measures, general models of population dynamics , drifted Brownian motions and some one-dimensional processes with jumps.
https://hal.inria.fr/hal-01217843
Contributeur : Nicolas Champagnat
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Soumis le : mardi 20 octobre 2015 - 10:50:12
Dernière modification le : samedi 27 janvier 2018 - 01:31:17
Document(s) archivé(s) le : jeudi 27 avril 2017 - 14:28:34
Nicolas Champagnat, Denis Villemonais. Exponential convergence to quasi-stationary distribution for absorbed one-dimensional diffusions with killing. ALEA : Latin American Journal of Probability and Mathematical Statistics, Instituto Nacional de Matemática Pura e Aplicada, 2017, 14, pp.177-199. 〈hal-01217843〉
