The long time behavior of an absorbed Markov process is well described by the limiting distribution of the process conditioned to not be killed when it is observed. Our aim is to give an approximation's method of this limit, when the process is a $1$-dimensional Itô diffusion whose drift is allowed to explode at the boundary. In a first step, we show how to restrict the study to the case of a diffusion with values in a bounded interval and whose drift is bounded. In a second step, we show an approximation method of the limiting conditional distribution of such diffusions, based on a Fleming-Viot type interacting particle system. We end the paper with two numerical applications : to the logistic Feller diffusion and to the Wright-Fisher diff...
My PhD thesis focuses on the study of the distributions of stochastic processes with absorption and ...
journal-articleWe consider diffusion processes killed at the boundary of Riemannian manifolds. The a...
National audienceThe theory of Markov processes with an absorbing state is commonly used in stochast...
The long time behavior of an absorbed Markov process is well described by the limiting distribution ...
In this paper, we study quasi-stationarity for a large class of Kolmogorov diffusions. The main nove...
International audienceThis article studies the quasi-stationary behaviour of absorbed one-dimensiona...
We study the existence and the exponential ergodicity of a general interacting particle system, whos...
International audienceThis article studies the quasi-stationary behaviour of absorbed one-dimensiona...
Limit theorems constitute a classical and important field in probability theory. In several applicat...
AbstractWe consider birth–death processes on the nonnegative integers, where {1,2,…} is an irreducib...
We summarize the following results of the author's recent work [17] without proof. For one-dimension...
65 pagesInternational audienceThis survey concerns the study of quasi-stationary distributions with ...
This article studies the quasi-stationary behaviour of absorbed one-dimensional diffusion processes....
My PhD thesis focuses on the study of the distributions of stochastic processes with absorption and ...
journal-articleWe consider diffusion processes killed at the boundary of Riemannian manifolds. The a...
National audienceThe theory of Markov processes with an absorbing state is commonly used in stochast...
The long time behavior of an absorbed Markov process is well described by the limiting distribution ...
In this paper, we study quasi-stationarity for a large class of Kolmogorov diffusions. The main nove...
International audienceThis article studies the quasi-stationary behaviour of absorbed one-dimensiona...
We study the existence and the exponential ergodicity of a general interacting particle system, whos...
International audienceThis article studies the quasi-stationary behaviour of absorbed one-dimensiona...
Limit theorems constitute a classical and important field in probability theory. In several applicat...
AbstractWe consider birth–death processes on the nonnegative integers, where {1,2,…} is an irreducib...
We summarize the following results of the author's recent work [17] without proof. For one-dimension...
65 pagesInternational audienceThis survey concerns the study of quasi-stationary distributions with ...
This article studies the quasi-stationary behaviour of absorbed one-dimensional diffusion processes....
My PhD thesis focuses on the study of the distributions of stochastic processes with absorption and ...
journal-articleWe consider diffusion processes killed at the boundary of Riemannian manifolds. The a...
National audienceThe theory of Markov processes with an absorbing state is commonly used in stochast...