Domain of attraction of quasi-stationary distributions for the brownian motion with drift
| Autor: | Pierre Picco, Jaime San Martín, Servet Martínez |
|---|---|
| Rok vydání: | 1998 |
| Předmět: |
Statistics and Probability
Geometric Brownian motion Fractional Brownian motion Applied Mathematics 010102 general mathematics Mathematical analysis Brownian excursion Heavy traffic approximation 01 natural sciences 010104 statistics & probability Diffusion process Reflected Brownian motion 0101 mathematics Martingale representation theorem Brownian motion Mathematics |
| Zdroj: | Advances in Applied Probability. 30:385-408 |
| ISSN: | 1475-6064 0001-8678 |
| DOI: | 10.1239/aap/1035228075 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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