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2014 A property of Petrov's diffusion
Stewart Ethier
Author Affiliations +
Electron. Commun. Probab. 19: 1-4 (2014). DOI: 10.1214/ECP.v19-3684

Abstract

Petrov constructed a diffusion process in the Kingman simplex whose unique stationary distribution is the two-parameter Poisson-Dirichlet distribution of Pitman and Yor. We show that the subset of the simplex comprising vectors whose coordinates sum to 1 is the natural state space for the process. In fact, the complementary set acts like an entrance boundary.

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Stewart Ethier. "A property of Petrov's diffusion." Electron. Commun. Probab. 19 1 - 4, 2014. https://doi.org/10.1214/ECP.v19-3684

Information

Accepted: 18 September 2014; Published: 2014
First available in Project Euclid: 7 June 2016

zbMATH: 1303.60068
MathSciNet: MR3262071
Digital Object Identifier: 10.1214/ECP.v19-3684

Subjects:
Primary: 60J60

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