A new property of absorbed diffusions

2000/11/14 by Nikolai Dokuchaev, Dokuchaev, Nikolai
Computer Science · Mathematics · #Advanced Mathematical Modeling in Engineering #Mathematical Dynamics and Fractals #math.OC #math.PR

paper · pdf · doi:10.48550/arxiv.math/0011089

6 pages

arxiv created 2000/11/14 · arxiv updated 2009/11/30

Abstract

We consider stochastic diffusion processes absorbed at the boundary of a domain. It is shown that there exist initial distributions which ensure a given decreasing of density of the absorbed process.

Related

• Absorption properties of stochastic equations with Hölder diffusion coefficients
• Criteria for exponential convergence to quasi-stationary distributions and applications to multi-dimensional diffusions
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• Limit theorems for rarefaction of set of diffusion processes by boundaries
• Limit theorems for number of diffusion processes which did not absorb by boundaries