Analytic property of generalized scale functions for standard processes with no negative jumps and its application to quasi-stationary distributions

2023/08/19 by Noba, Kei, Yamato, Kosuke
#60J76 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2308.09935

Abstract

For a generalized scale function of standard processes, we characterize it as a unique solution to a Volterra type integral equation. This allows us to extend it to an entire function and to derive a useful identity that we call the resolvent identity. We apply this result to study the existence of a quasi-stationary distribution for the processes killed at hitting boundaries. A new classification of the boundary, which is a natural extension of Feller's for one-dimensional diffusions, is introduced and plays a central role to characterize the existence.

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