2013/11/25 by Laurent Miclo, Miclo, Laurent
Computer Science · Economics, Econometrics and Finance · Mathematics · #Advanced Mathematical Modeling in Engineering #FOS: Mathematics #Markov Chains and Monte Carlo Methods #Probability (math.PR) #Stochastic processes and financial applications
paper · doi:10.48550/arxiv.1311.6442
openalex publication_date 2013/11/25 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
A necessary and sufficient condition is obtained for the existence of strong stationary times for ergodic one-dimensional diffusions, whatever the initial distribution. The strong stationary times are constructed through intertwinings with dual processes, in the Diaconis-Fill sense, taking values in the set of segments of the extended line ℝ\sqcup\-∞,+∞\. They can be seen as natural h-transforms of the extensions to the diffusion framework of the evolving sets of Morris-Peres. Starting from a singleton set, the dual process begins by evolving into true segments in the same way a Bessel process of dimension 3 escapes from 0. The strong stationary time corresponds to the first time the full segment [-∞,+∞] is reached. The benchmark Ornstein-Uhlenbeck process cannot be treated in this way, it will nevertheless be seen how to use other strong times to recover its optimal exponential rate of convergence in the total variation sense.