A property of Petrov ’ s diffusion ∗
نویسنده
چکیده
Petrov constructed a diffusion process in the compact Kingman simplex whose unique stationary distribution is the two-parameter Poisson–Dirichlet distribution of Pitman and Yor. We show that the subset of the simplex comprising vectors whose coordinates sum to 1 is the natural state space for the process. In fact, the complementary set acts like an entrance boundary.
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