Lifetimes of Conditioned Diffusions
نویسندگان
چکیده
We investigate when an upper bound on expected lifetimes of conditioned diffusions associated with elliptic operators in divergence and non-divergence form can be found. The critical value of the parameter is found for each of the following classes of domains: Lpdomains (p = n− 1), uniformly regular twisted Lp-domains (p = n− 1), and twisted Hölder domains (α = 1/3). A related parabolic boundary Harnack principle is proved.
منابع مشابه
Sampling Conditioned Diffusions
For many practical problems it is useful to be able to sample conditioned diffusions on a computer (e.g. in filtering/smoothing to sample from the conditioned distribution of the unknown signal given the known observations). We present a recently developed, SPDE-based method to tackle this problem. The method is an infinite dimensional generalisation of the Langevin sampling technique.
متن کاملSimulation of conditioned diffusions
In this paper, we propose some algorithms for the simulation of the distribution of certain diffusions conditioned on terminal point. We prove that the conditional distribution is absolutely continuous with respect to the distribution of another diffusion which is easy for simulation, and the formula for the density is given explicitly.
متن کاملRetrospective Exact Simulation of Diffusion Sample Paths with Applications
The objective of this paper is to present an algorithm, for exact simulation of a class of Ito’s diffusions. We demonstrate that when the algorithm is applicable, it is also straightforward to simulate diffusions conditioned to hit specific values at predetermined time instances. We also describe a method that exploits the properties of the algorithm to carry out inference on discretely observe...
متن کامل2 01 5 Varadhan ’ s formula , conditioned diffusions , and local volatilities
Motivated by marginals-mimicking results for Itô processes [15, 21] via SDEs and by their applications to volatility modeling in finance, we discuss the weak convergence of the law of a hypoelliptic diffusions conditioned to belong to a target affine subspace at final time, namely L(Zt|Yt = y) if X· = (Y·, Z·). To do so, we revisit Varadhan-type estimates in a small-noise regime, studying the d...
متن کاملQuasi-stationarity distributions and diffusion models in population dynamics
In this paper, we study quasi-stationarity for a large class of Kolmogorov diffusions, that is, existence of a quasi-stationary distribution, conditional convergence to such a distribution, construction of a Q-process (process conditioned to be never extinct). The main novelty here is that we allow the drift to go to −∞ at the origin, and the diffusion to have an entrance boundary at +∞. These ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2005