Domain of attraction of quasi-stationary distributions for the Brownian motion with drift

被引：23

作者：

Martinez, S

Picco, P

San Martin, J

机构：

[1] Univ Chile, Dipartimento Ingn Matemat, Santiago 3, Chile

[2] CNRS Marseille Luminy, Ctr Phys Theor, F-13288 Marseille 9, France

来源：

ADVANCES IN APPLIED PROBABILITY | 1998年 / 30卷 / 02期

关键词：

quasi-stationary distributions; Brownian motion;

D O I：

10.1017/S0001867800047340

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider Brownian motion with a negative drift conditioned to stay positive. We give a sufficient condition for an initial measure to be in the domain of attraction of a quasi-stationary distribution. We construct a counter-example that strongly suggests that this condition is optimal.

引用

页码：385 / 408

页数：24

共 16 条

[11] QUASI-STATIONARY BEHAVIOUR IN RANDOM WALK WITH CONTINUOUS TIME [J].