The Annals of Probability

Doob's Conditioned Diffusions and their Lifetimes

R. Dante DeBlassie

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Abstract

We study the lifetime of a conditioned diffusion (or $h$-path) on a bounded $C^\infty$ domain $G$ in $\mathbb{R}^d$. Making use of results of Donsker and Varadhan, we show that the tail of the distribution of the lifetime decays exponentially; in fact, the decay constant is the same as that for the exponential decay of the tail of the distribution of the first time the unconditioned diffusion exits $G$. In the case of Brownian motion and bounded domains (not necessarily $C^\infty$) we describe some sufficient conditions to ensure the previously described asymptotic results hold here too.

Article information

Source
Ann. Probab., Volume 16, Number 3 (1988), 1063-1083.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176991678

Digital Object Identifier
doi:10.1214/aop/1176991678

Mathematical Reviews number (MathSciNet)
MR942756

JSTOR
links.jstor.org

Subjects
Primary: 60J60: Diffusion processes [See also 58J65]
Secondary: 60J65: Brownian motion [See also 58J65]

Keywords
Conditioned diffusions $h$-paths lifetime large deviations Donsker-Varadhan $I$-function

Citation

DeBlassie, R. Dante. Doob's Conditioned Diffusions and their Lifetimes. Ann. Probab. 16 (1988), no. 3, 1063--1083. doi:10.1214/aop/1176991678. https://projecteuclid.org/euclid.aop/1176991678


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