On the first exit time of a nonnegative Markov process started at a quasistationary distribution

Abstract

Let {M_n}_n≥0 be a nonnegative time-homogeneous Markov process. The quasistationary distributions referred to in this note are of the form Q_A(x) = lim_n→∞P(M_n ≤ x | M₀ ≤ A, M₁ ≤ A, ..., M_n ≤ A). Suppose that M₀ has distribution Q_A, and define T_A^Q_A = min{n | M_n > A, n ≥ 1}, the first time when M_n exceeds A. We provide sufficient conditions for Q_A(x) to be nonincreasing in A (for fixed x) and for T_A^Q_A to be stochastically nondecreasing in A.