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Quasi-stationarity for one-dimensional renormalized Brownian motion

Research paper by William Oçafrain

Indexed on: 20 Sep '18Published on: 20 Sep '18Published in: arXiv - Mathematics - Probability



Abstract

We are interested in the quasi-stationarity of the time-inhomogeneous Markov process X t = B t (t + 1) $\kappa$ where (B t) t$\ge$0 is a one-dimensional Brownian motion and $\kappa$ $\in$ (0, $\infty$). We first show that the law of X t conditioned not to go out from (--1, 1) until the time t converges weakly towards the Dirac measure $\delta$ 0 when $\kappa$ > 1 2 as t goes to infinity. Then we show that this conditioned probability converges weakly towards the quasi-stationary distribution of an Ornstein-Uhlenbeck process when $\kappa$ = 1 2. Finally, when $\kappa$ < 1 2 , it is shown that the conditioned probability converges towards the quasi-stationary distribution of a Brownian motion. We also prove the existence of a Q-process and a quasi-ergodic distribution for $\kappa$ = 1 2 and $\kappa$ < 1 2 .