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.
Author: | Martin Anders |
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URN: | urn:nbn:de:hbz:386-kluedo-43113 |
Advisor: | Heinrich von Weizsäcker |
Document Type: | Doctoral Thesis |
Language of publication: | English |
Date of Publication (online): | 2016/03/03 |
Year of first Publication: | 2016 |
Publishing Institution: | Technische Universität Kaiserslautern |
Granting Institution: | Technische Universität Kaiserslautern |
Acceptance Date of the Thesis: | 2016/02/05 |
Date of the Publication (Server): | 2016/03/03 |
Page Number: | 150 |
Faculties / Organisational entities: | Kaiserslautern - 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 |