Some limit theorems of killed Brownian motion

Abstract

In this paper, we prove some limit theorems for killed Brownian motion during its life time. The emphases are on quasi-stationarity and quasi-ergodicity and related problems. On one hand, using an eigenfunction expansion for the transition density, we prove the existence and uniqueness of both quasi-stationary distribution (qsd) and mean ratio quasi-stationary distribution (mrqsd). The later is shown to be closely related to laws of large numbers (LLN) and to quasi-ergodicity. We further show that the mrqsd is the unique stationary distribution of a certain limiting ergodic diffusion process of the BM conditioned on not having been killed. We also show that a phase transition occurs from mrqsd to qsd. On the other hand, we study the large deviation behavior related to the above problems. A key observation is that the mrqsd is the unique minimum of certain large deviation rate function. We further prove that the limiting diffusion process also satisfies a large deviation principle with the rate function attaining its unique minimum at the mrqsd. These give interpretations of the mrqsd from different points of view, and establish some intrinsic connections among the above topics. Some general results concerning Yaglom limit, moment convergence and LLN are also obtained.