DOMAIN OF ATTRACTION OF QUASI-STATIONARY DISTRIBUTIONS FOR THE BROWNIAN-MOTION WITH DRIFT

Authors
MARTINEZ S PICCO P SANMARTIN J
Citation
S. Martinez et al., DOMAIN OF ATTRACTION OF QUASI-STATIONARY DISTRIBUTIONS FOR THE BROWNIAN-MOTION WITH DRIFT, Advances in Applied Probability, 30(2), 1998, pp. 385-408
Citations number
16
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Advances in Applied Probability → ACNP
ISSN journal
00018678
Volume
30
Issue
2
Year of publication
1998
Pages
385 - 408
Database
ISI
SICI code
0001-8678(1998)30:2<385:DOAOQD>2.0.ZU;2-0
Abstract
We consider Brownian motion with a negative drift conditioned to stay positive. We give a sufficient condition for an initial measure to be in the domain of attraction of a quasi-stationary distribution. We con struct a counter-example that strongly suggests that this condition is optimal.