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Teoriya Veroyatnostei i ee Primeneniya, 1973, Volume 18, Issue 1, Pages 160–163
(Mi tvp2689)
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Short Communications
Boundary behaviour of conditional diffusion processes
Yu. I. Kifer Moscow
Abstract:
Let $G$ be a bounded domain in $R^n$ of class $A^{(2)}$ with the boundary $\Gamma$, and $x_t$ be a diffusion process in $G$ with absorption on $\Gamma$. Denote by $q(x,\gamma)$ the distribution density of the exit point of $x_t$ on $\Gamma$, and let $\widehat x_t$ be the conditional process given that $x_t$ is absorbed at a point $o$.
In the paper, the behaviour of the function $q(x,o)$ as $x\to o$ and of the process $\widehat x_t$ near $o$ is studied.
Received: 20.05.1971
Citation:
Yu. I. Kifer, “Boundary behaviour of conditional diffusion processes”, Teor. Veroyatnost. i Primenen., 18:1 (1973), 160–163; Theory Probab. Appl., 18:1 (1973), 158–161
Linking options:
https://www.mathnet.ru/eng/tvp2689 https://www.mathnet.ru/eng/tvp/v18/i1/p160
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