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arXiv · 2102.05785

Quasi-stationary distributions of multi-dimensional diffusion processes

Alexandru Hening·Weiwei Qi·Zhongwei Shen·Yingfei Yi
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Abstract

The present paper is devoted to the investigation of the long term behavior of a class of singular multi-dimensional diffusion processes that get absorbed in finite time with probability one. Our focus is on the analysis of quasi-stationary distributions (QSDs), which describe the long term behavior of the system conditioned on not being absorbed. Under natural Lyapunov conditions, we construct a QSD and prove the sharp exponential convergence to this QSD for compactly supported initial distributions. Under stronger Lyapunov conditions ensuring that the diffusion process comes down from infinity, we show the uniqueness of a QSD and the exponential convergence to the QSD for all initial distributions. Our results can be seen as the multi-dimensional generalization of Cattiaux et al (Ann. Prob. 2009) as well as the complement to Hening and Nguyen (Ann. Appl. Prob. 2018) which looks at the long term behavior of multi-dimensional diffusions that can only become extinct asymptotically. The centerpiece of our approach concerns a uniformly elliptic operator that we relate to the generator, or the Fokker-Planck operator, associated to the diffusion process. This operator only has singular coefficients in its zeroth-order terms and can be handled more easily than the generator. For this operator, we establish the discreteness of its spectrum, its principal spectral theory, the stochastic representation of the semigroup generated by it, and the global regularity for the associated parabolic equation. We show how our results can be applied to most ecological models, among which cooperative, competitive, and predator-prey Lotka-Volterra systems.

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Alexandru Hening, Weiwei Qi, Zhongwei Shen, Yingfei Yi. 2021-02-11. Quasi-stationary distributions of multi-dimensional diffusion processes. https://arxiv.org/abs/2102.05785

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