Conditioning to avoid zero via a class of concave functions for one-dimensional diffusions

Kosuke Yamato

Published: 2024/8/26

Abstract

For one-dimensional diffusions on the half-line, we study a specific type of conditioning to avoid zero. We introduce supermartingales defined via concave functions with respect to the scale function. A conditioning is formulated through the exit times of the supermartingale, and its existence is shown. We also investigate the absolute continuity relations of the limit laws at time infinity.