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

Journal article

© 2015 The Author. 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. The motivation for this paper comes from looking at populations that are modeled by diffusions which do not go extinct in finite time but which go 'extinct asymptotically' as t→∞. We look at transient one-dimensional diffusions (Xt)t≥0 with state space I=(ℓ, ∞) such that Xt→ℓ as t→∞, Px-almost surely for all x∈I. We 'condition' (Xt)t≥0 to go to ∞ as t→∞ and show that the resulting diffusion is the Doob h-transform of (Xt)t≥0 with h=s where s is the scale function of (Xt)t≥0. Finally, we explore what this conditioning does in two examples.

Authors: Hening, A

• Publication status: Published
• Peer review status: Peer reviewed
• Publisher: Elsevier
• Journal: Statistics and Probability Letters
• Volume: 110
• Pages: 62-73
• Publication date: 2016-03-01
• Acceptance date: 2015-12-10
• DOI: 10.1016/j.spl.2015.12.011
• ISSN: 0167-7152
• Keywords: Conditioning; Q-process; Doob h-transform; Diffusion