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1 Introduction
is unique and strong, and is called a squared δ-dimensional radial Ornstein-Uhlenbeck process
with parameter −λ. If δ ≥ 1 is an integer, then the process Zt can be represented by the square
of the Euclidian norm of a δ-dimensional Ornstein-Uhlenbeck. Indeed, it is a special case of the
Cox-Ingersoll-Ross processes. If λ = 0, the squared δ-dimensional radial Ornstein-Uhlenbeck
process with parameter −λ corresponds to the squared Bessel process with dimension δ.
Obviously, the squared δ-dimensional radial Ornstein-Uhlenbeck process is a Markov process
and for δ ≥ 0, we have Zt ≥ 0, a.s.. Hence, the square root of this process is also a Markov
process and is called a δ-dimensional radial Ornstein-Uhlenbeck process with parameter −λ,
which is denoted by (Xt )t≥0 . In the case of λ = 0, it is just the δ-dimensional Bessel process,
which is usually denoted by BES δ .
Denote by T0 the hitting time of 0, i.e., T0 = inf{t > 0 : Xt = 0}.
It is observed that for δ ≥ 2 and x > 0, the process (Xt )t≥0 almost surely does not hit
zero; for δ < 2, we have −λ Pxδ (T0 < ∞) > 0, in particular, if δ < 2 and λ > 0, we have
−λ δ
Px (T0 < ∞) = 1. Thus, 0 is a regular boundary (instantaneously reflecting). Therefore, if
the dimension δ < 2, the interesting things for us are that how the process behaved before it
does not touch 0, and what the stationary distribution of this conditioned process is.
There are a lot of articles concerning about that deal with the limiting conditional distri-
butions (or the Yaglom limit) and the conditional invariant distributions (also called the quasi-
stationary distributions). There are pioneering works of Yaglom [13] on branching processes,
Vere-Jones[12] and Seneta and Vere-Jones[11] on Markov chains. Some of the recent results for
one dimensional diffusions were the work of Martinez and Martin [7, 8], showing conditions for
the existence of the conditional invariant distributions.
In this article, we use the methods of Martinez and Martin [8] to obtain that the conditional
distribution associated to the δ(δ < 2)-dimensional radial Ornstein-Uhlenbeck process with
parameter −λ forms a one-parameter family. In Theorem 3.3 we describe that the minimal one
is the probability measure induced by a (4 − δ)-dimensional radial Ornstein-Uhlenbeck process
with parameter −λ. In Theorem 3.6, we show that the law of the conditioned process is induced
by a one-parameter diffusion.
We give some preliminary properties of the δ(δ < 2)-dimensional radial Ornstein-Uhlenbeck
process with parameter −λ in Section 2. In Section 3 we state our main results for the condi-
tioned process and then we give the proofs.
We recall in this section some basic facts about the radial Ornstein-Uhlenbeck process that
will be used in the statements of our results.
Let Xt be the canonical process on C(R+ , R), and Ta = inf{t > 0 : Xt = a}. Denote
by Pxδ and −λ Px , respectively, the distribution of a δ-dimensional radial Ornstein-Uhlenbeck
−λ
process (Xt ) and that of a 1-dimensional Ornstein-Uhlenbeck process, with parameter −λ and
initial value x. The corresponding expectations will be −λ Exδ and −λ Ex , and where E denotes
the usual expectation with respect to the probability measure P . If λ = 0, all the superscripts
on the left will be omitted.
No.3 Ye: QUASI-STATIONARY DISTRIBUTIONS 515
It is well known (Revuz and Yor [10]) that the transition density for BES δ is equal to
1 y ν x2 + y 2 xy
pδt (x, y) = y exp − Iν , t > 0, x > 0,
t x 2t t
and
y 2ν+1 y2
pδt (0, y) = exp − ,
2ν tν+1 Γ(ν + 1) 2t
where ν = δ2 − 1 and Iν is the modified Bessel function of the first kind of index ν.
Recall a δ-dimensional radial Ornstein-Uhlenbeck process can be represented as (Elworthy-
Li-Yor [4])
Xt = e−λt R̂uλ (t) ,
2λt
where {R̂t } is a Bessel process starting from the same initial point x and uλ (t) = e 2λ−1 . From
this relationship we can get the transition density for a δ-dimensional radial Ornstein-Uhlenbeck
process with parameter −λ explicitly as
−λ δ
pt (x, y) = eλt pδuλ (t) (x, eλt y).
Thus, we have
−λ δ x2−δ nλ
2
oh λ i 4−δ
2
px (t) = ν
exp [δt + x (1 − coth(λt))] . (2.1)
2 Γ(ν) 2 sinh(λt)
−λ δ
px (t) = e2λt φx (uλ (t)), (2.2)
2
x2−δ δ x
where φx (t) = δ ( 1 )2− 2 e− 2t .
21− 2 Γ(1− δ2 ) t
From equation (1.1), we know that the generator of the squared δ-dimensional radial
d2 d
Ornstein-Uhlenbeck process with parameter −λ is A= 2x dx 2 + (δ − 2λx) dx , and its scale
and
1 δ −1 −λx
m̃(x) = x2 e .
2
516 ACTA MATHEMATICA SCIENTIA Vol.28 Ser.B
By the transforming property, we can deduce that the scale function and the speed mea-
sure density of the δ-dimensional radial Ornstein-Uhlenbeck process with parameter −λ are,
respectively,
Z x2
δ
s(x) = y − 2 eλy dy,
0
and
1 δ−1 −λx2
m(x) = x e .
4
Obviously, the scale function s(x) satisfies
Ls(x) = 0, s(0) = 0,
2
d
where L = 12 dx δ−1 d
2 +( 2x −λx) dx is the generator of the δ-dimensional radial Ornstein-Uhlenbeck
Therefore, s(Xt )I{T0 >t} is a local martingale, and for x ∈ (0, M ), we have
−λ s(x)
Pxδ (TM < T0 ) = .
s(M )
For all λ ∈ R and δ ≥ 0, it is observed that the boundary ∞ is natural and unattainable,
so we have, for any l > 0
lim −λ Pxδ (TM < l) = 0.
M→∞
ϕ(y)
q (c) (t, x, y) = ect p̄(t, x, y),
ϕ(x)
−λ
Pyδ (T0 >t−s)
(1) lim −λ P δ (T >t) = ( xy )2−δ exp{(2 − δ)λs};
t→∞ x 0
1
(2) lim log{−λ Pxδ (T0 > t)} = −(2 − δ)λ;
t→∞ t
−λ
Pxδ (T0 >t)
(3) lim −λ P δ (T >t) = x2−δ , ∀x > 0.
t→∞ 1 0
x 0
−λ δ
P (T0 > t − s)
= −λ Exδ X ∈ A, T0 > s, −λXs δ .
Px (T0 > t)
518 ACTA MATHEMATICA SCIENTIA Vol.28 Ser.B
where Lx is the last time of the (4 − δ)-dimensional radial Ornstein-Uhlenbeck process, starting
from 0, hitting x, and h is a deterministic function given in [4]. In particular, we have
−λ
Pxδ (T0 ∈ du) = h(x)e2λu ·λ P04−δ (Lx ∈ du).
From formula (3.2), we can deduce the sub-Markovian semigroup of the δ-dimensional
radial Ornstein-Uhlenbeck process X
−λ
Exδ [f (Yt ; t ≤ T0 )] = h(x) ·λ E04−δ [f (YLx −t ; t ≤ Lx )e2λLx ].
Thus,
Z ∞
−λ
Exδ [f (Yt ; t ≤ T0 )] = λ
E04−δ [f (Xu−t )]h(x)e2λu ·λ P04−δ (Lx ∈ du)
t
Z ∞
= λ
E04−δ [f (Xu−t )] ·−λ Pxδ (T0 ∈ du)
Zt ∞
= λ
E04−δ [f (Xu−t )] ·−λ pδx (u)du
t
Z ∞
= λ
E04−δ [f (Xu−t )] ·−λ pδx (u + t)du.
0
∂ 2 − δ x
φx (t) = − φx (t),
∂x x t
∂2 (2 − δ)(1 − δ) 5 − 2δ x2
φx (t) = − + 2 φx (t),
∂x2 x2 t t
−λ δ
we can easily verify that the transition density p̄ (t, x, y) is the fundamental solution of the
following Kolomogorov backward equation
∂ −λ δ 1 ∂ 2 −λ δ δ − 1 ∂
−λ δ
p̄ (t, x, y) = 2
p̄ (t, x, y) + − λx p̄ (t, x, y).
∂t 2 ∂x 2x ∂x
It means that {Xt ; t ≤ T0 } has the generator with the form as Lf = 21 f ′′ + ( δ−1 ′
2x − λx)f .
In this article, we denote the semigroup of {Xt ; t ≤ T0 } by P̄t . In order to find the left
eigenfunction ϕ for the semigroup P̄t , that is, ϕP̄t = e−ct ϕ, we consider the following equation
The following Lemma 3.4 shows that if c ∈ (0, (2 − δ)λ), any solution ϕc of equation (3.3)
is the left eigenfunction for the semigroup P̄t .
Lemma 3.4 For any c ∈ (0, (2 − δ)λ), if ϕc satisfies equation (3.3), then we have
−λ δ
Ex (ϕc (Xs ), s < T0 ) = e−cs ϕc (x), ∀x ≥ 0, s > 0.
Moreover,
Z T0 (2 − δ)λ − c
−λ δ
δ
ϕc (x) = c · Ex ϕc (Xs )ds = x2−δ · 1 F1 , 2 − ; λx2 ∀x ≥ 0,
0 2λ 2
where 1F1 (a, b; z) is the Kummer confluent hypergeometric function defined by
∞
X (a)j zj
1F1 (a, b; z) = · ,
j=0
(b)j j!
−λ δ
is a local martingale (with respect to Px and Ft ), this is equivalent to
ϕc (Xt ) ct
Nt = e I{t<T0 } ,
ϕc (x)
As n tends to ∞, we have
a 2−δ ϕ (x)
−λ 4−δ (c−(2−δ)λ)Ta c
Ex (e ) = .
x ϕc (a)
According to the results of the Laplace transform of the hitting time Ta (Göing [5]), when
0 < c ≤ (2 − δ)λ, we have
(2−δ)λ−c δ 2
−λ 4−δ (c−(2−δ)λ)Ta 1 F1 ( 2λ ,2 − 2 ; λx )
Ex (e ) = (2−δ)λ−c
,
δ 2
1 F1 ( 2λ ,2 − 2 ; λa )
where 1F1 (a, b; z) is the Kummer confluent hypergeometric function. Therefore, we can easily
verify that
(2 − δ)λ − c δ
ϕc (x) = x2−δ · 1 F1 , 2 − ; λx2
2λ 2
is the solution of equation (3.3), which is unique up to a constant factor.
Now we can show ϕc (0 < c < (2 − δ)λ) is the left eigenfunction for the semigroup P̄t .
Since Nt is a −λPxδ -local martingale, suppose (τn , n ∈ N ) be a reducing sequence of stopping
times for Nt , using the optional stopping theorem, we get
ϕ (X
t∧τn ) c(t∧τn )
−λ δ c
Ex e I{t∧τn <T0 } = 1.
ϕc (x)
Hence
−λ δ n→∞
Ex (ϕc (Xt∧τn )ec(t∧τn ) I{t∧τn <T0 } ) −→ −λExδ (ϕc (Xt )ect I{t<T0 } ).
Thus, we have
−λ δ
Ex (ϕc (Xs ), s < T0 ) = e−cs ϕc (x) ∀x ≥ 0, s > 0.
Moreover, using the optional stopping theorem to the local martingale Mt as above, we
deduce
Z T0 ∧τn Z T0
−λ δ n→∞ −λ δ
ϕc (x) = Ex (ϕc (XT0 ∧τn ) − Lϕc (Xs )ds) −→ c · Ex ϕc (Xs )ds ∀x ≥ 0.
0 0
c
Now let us consider an increasing sequence of stopping times (ηM ) associated to ϕc defined
by
c
ηM = inf{t > 0 : ect ϕc (Xt ) ≥ M }.
−λ δ c c
Proof (1) For any t > 0, since lim Px (ηM ≥ t) = 1, so the stopping times ηM ↑
M→∞
−λ δ
∞, a.s..
Px
Note that Nt = ϕϕcc(X t ) ct
(x) e I{t<T0 } is a
−λ δ
Px -local martingale. Let (τn , n ∈ N ) be a reducing
sequence of stopping times for Nt . For fixed M , using the optional stopping theorem (see
Revuz-Yor[10]), we have
ϕc (Xτ c )
n ∧ηM c
−λ δ
Ex ec(τn∧ηM ) I{τn ∧ηM
c <T } = 1.
ϕc (x) 0
−λ δ
ϕc (Xs ) cs
lim Px (X c
∈ A|T0 > ηM ) = −λExδ X ∈ A, e , s < T0 .
M→∞ ϕc (x)
where δ̃ = 4 − δ > 2. Thus, according to the proof in Lemma 3.4, we can define a family of
diffusion processes with laws −λP̂x4−δ as
−λ 4−δ φ̂(Xs )
e(c−(2−δ)λ)s · −λPx4−δ Ft ,
P̂x Ft =
φ̂(x)
1 d2 φ̂′ (x) 3 − δ d
+ + − λx
2 dx2 φ̂(x) 2x dx
(4−δ)λ−c
!
1 d2 2((2 − δ)λ − c)x 1F1 ( 2λ , 3 − 2δ ; λx2 ) 3 − δ d
= + · + − λx .
2 dx2 4−δ 1F1 (
(2−δ)λ−c δ 2
, 2 − 2 ; λx ) 2x dx
2λ
Acknowledgments The author thanks for the discussions with S. Martinez and J. San
Martin while he visited the Center for Mathematical Modelling at Universidad de Chile. The
author is also grateful for the hospitality received at CMM.
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