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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1973 Volume 18, Issue 1, Pages 160–163 (Mi tvp2689)

Short Communications

Boundary behaviour of conditional diffusion processes

Yu. I. Kifer

Moscow

Abstract: Let $G$ be a bounded domain in $R^n$ of class $A^{(2)}$ with the boundary $\Gamma$, and $x_t$ be a diffusion process in $G$ with absorption on $\Gamma$. Denote by $q(x,\gamma)$ the distribution density of the exit point of $x_t$ on $\Gamma$, and let $\widehat x_t$ be the conditional process given that $x_t$ is absorbed at a point $o$.
In the paper, the behaviour of the function $q(x,o)$ as $x\to o$ and of the process $\widehat x_t$ near $o$ is studied.

Received: 20.05.1971


 English version:
Theory of Probability and its Applications, 1973, 18:1, 158–161

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