Linear diffusions conditioned on long-term survival

  • We investigate the long-term behaviour of diffusions on the non-negative real numbers under killing at some random time. Killing can occur at zero as well as in the interior of the state space. The diffusion follows a stochastic differential equation driven by a Brownian motion. The diffusions we are working with will almost surely be killed. In large parts of this thesis we only assume the drift coefficient to be continuous. Further, we suppose that zero is regular and that infinity is natural. We condition the diffusion on survival up to time t and let t tend to infinity looking for a limiting behaviour.

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Author:Martin Anders
URN (permanent link):urn:nbn:de:hbz:386-kluedo-43113
Advisor:Heinrich von Weizsäcker
Document Type:Doctoral Thesis
Language of publication:English
Publication Date:2016/03/03
Year of Publication:2016
Publishing Institute:Technische Universität Kaiserslautern
Granting Institute:Technische Universität Kaiserslautern
Acceptance Date of the Thesis:2016/02/05
Date of the Publication (Server):2016/03/03
Number of page:150
Faculties / Organisational entities:Fachbereich Mathematik
DDC-Cassification:5 Naturwissenschaften und Mathematik / 510 Mathematik
MSC-Classification (mathematics):60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX)
Licence (German):Standard gemäß KLUEDO-Leitlinien vom 30.07.2015