Acta Mathematica Scientia 2008,28B(3):513–522

http://actams.wipm.ac.cn

QUASI-STATIONARY DISTRIBUTIONS FOR THE

RADIAL ORNSTEIN-UHLENBECK PROCESSES∗
Ye Jun (
)
Department of Mathematical Sciences, Tsinghua University, Beijing 100084, China
E-mail: jye@math.tsinghua.edu.cn

Abstract The purpose of this article is to obtain the quasi-stationary distributions of

the δ(δ < 2)-dimensional radial Ornstein-Uhlenbeck process with parameter −λ by using
the methods of Martinez and San Martin (2001). It is described that the law of this
process conditioned on first hitting 0 is just the probability measure induced by a (4 − δ)-
dimensional radial Ornstein-Uhlenbeck process with parameter −λ. Moreover, it is shown
that the law of the conditioned process associated with the left eigenfunction of the process
conditioned on first hitting 0 is induced by a one-parameter diffusion.
Key words Radial Ornstein-Uhlenbeck process, quasi-stationary distribution, quasi-
invariant
2000 MR Subject Classification 60F99, 60J60, 60J65

1 Introduction

In financial mathematics, it is well-known that the Cox-Ingersoll-Ross short term interest

rate model has many appealing advantages over other single factor interest rate models in term
structure theory. Frequently, people would like to know how the interesting rate behaves before
it reaches some level, while sometimes to recognize its long term properties conditioned on never
touching some level. As Cox-Ingersoll-Ross processes are time-space-transformed squared Bessel
processes, and can also be transformed by a time change to squared radial Ornstein-Uhlenbeck
processes. Therefore, in order to obtain such results for Cox-Ingersoll-Ross processes, we will
consider the (squared) Bessel processes and the (squared) radial Ornstein-Uhlenbeck processes.
Recently, the (squared) radial Ornstein-Uhlenbeck processes came to play a more and more
distinguished role in financial mathematics (e.g.,Aquilina and Rogers[1]).
First, we recall the definition of the (squared) radial Ornstein-Uhlenbeck processes. Work-
ing on a probability space (Ω, F , (Ft )t≥0 , P ), which satisfies the usual conditions, let (Wt )t≥0
be a one-dimensional Brownian motion under P . If λ ∈ R, δ ≥ 0 and z ≥ 0, the solution to the
following stochastic differential equation
Z t Z tp
Zt = z + (δ − 2λZs )ds + 2 Zs dWs . (1.1)
0 0
∗ Received April 20, 2006
514 ACTA MATHEMATICA SCIENTIA Vol.28 Ser.B

is unique and strong, and is called a squared δ-dimensional radial Ornstein-Uhlenbeck process
with parameter −λ. If δ ≥ 1 is an integer, then the process Zt can be represented by the square
of the Euclidian norm of a δ-dimensional Ornstein-Uhlenbeck. Indeed, it is a special case of the
Cox-Ingersoll-Ross processes. If λ = 0, the squared δ-dimensional radial Ornstein-Uhlenbeck
process with parameter −λ corresponds to the squared Bessel process with dimension δ.
Obviously, the squared δ-dimensional radial Ornstein-Uhlenbeck process is a Markov process
and for δ ≥ 0, we have Zt ≥ 0, a.s.. Hence, the square root of this process is also a Markov
process and is called a δ-dimensional radial Ornstein-Uhlenbeck process with parameter −λ,
which is denoted by (Xt )t≥0 . In the case of λ = 0, it is just the δ-dimensional Bessel process,
which is usually denoted by BES δ .
Denote by T0 the hitting time of 0, i.e., T0 = inf{t > 0 : Xt = 0}.
It is observed that for δ ≥ 2 and x > 0, the process (Xt )t≥0 almost surely does not hit
zero; for δ < 2, we have −λ Pxδ (T0 < ∞) > 0, in particular, if δ < 2 and λ > 0, we have
−λ δ
Px (T0 < ∞) = 1. Thus, 0 is a regular boundary (instantaneously reflecting). Therefore, if
the dimension δ < 2, the interesting things for us are that how the process behaved before it
does not touch 0, and what the stationary distribution of this conditioned process is.
There are a lot of articles concerning about that deal with the limiting conditional distri-
butions (or the Yaglom limit) and the conditional invariant distributions (also called the quasi-
stationary distributions). There are pioneering works of Yaglom [13] on branching processes,
Vere-Jones[12] and Seneta and Vere-Jones[11] on Markov chains. Some of the recent results for
one dimensional diffusions were the work of Martinez and Martin [7, 8], showing conditions for
the existence of the conditional invariant distributions.
In this article, we use the methods of Martinez and Martin [8] to obtain that the conditional
distribution associated to the δ(δ < 2)-dimensional radial Ornstein-Uhlenbeck process with
parameter −λ forms a one-parameter family. In Theorem 3.3 we describe that the minimal one
is the probability measure induced by a (4 − δ)-dimensional radial Ornstein-Uhlenbeck process
with parameter −λ. In Theorem 3.6, we show that the law of the conditioned process is induced
by a one-parameter diffusion.
We give some preliminary properties of the δ(δ < 2)-dimensional radial Ornstein-Uhlenbeck
process with parameter −λ in Section 2. In Section 3 we state our main results for the condi-
tioned process and then we give the proofs.

2 Radial Ornstein-Uhlenbeck Process

We recall in this section some basic facts about the radial Ornstein-Uhlenbeck process that
will be used in the statements of our results.
Let Xt be the canonical process on C(R+ , R), and Ta = inf{t > 0 : Xt = a}. Denote
by Pxδ and −λ Px , respectively, the distribution of a δ-dimensional radial Ornstein-Uhlenbeck
−λ

process (Xt ) and that of a 1-dimensional Ornstein-Uhlenbeck process, with parameter −λ and
initial value x. The corresponding expectations will be −λ Exδ and −λ Ex , and where E denotes
the usual expectation with respect to the probability measure P . If λ = 0, all the superscripts
on the left will be omitted.
No.3 Ye: QUASI-STATIONARY DISTRIBUTIONS 515

It is well known (Revuz and Yor [10]) that the transition density for BES δ is equal to

1  y ν  x2 + y 2   xy 
pδt (x, y) = y exp − Iν , t > 0, x > 0,
t x 2t t
and
y 2ν+1  y2 
pδt (0, y) = exp − ,
2ν tν+1 Γ(ν + 1) 2t
where ν = δ2 − 1 and Iν is the modified Bessel function of the first kind of index ν.
Recall a δ-dimensional radial Ornstein-Uhlenbeck process can be represented as (Elworthy-
Li-Yor [4])
Xt = e−λt R̂uλ (t) ,
2λt
where {R̂t } is a Bessel process starting from the same initial point x and uλ (t) = e 2λ−1 . From
this relationship we can get the transition density for a δ-dimensional radial Ornstein-Uhlenbeck
process with parameter −λ explicitly as

−λ δ
pt (x, y) = eλt pδuλ (t) (x, eλt y).

Thus, we have

2λ n λ(x2 + y 2 )e−2λt o  2λxye−λt 

−λ δ −λt −ν 2ν+1 −λy 2
pt (x, y) = (xye ) y e exp − Iν ,
1 − e−2λt 1 − e−2λt 1 − e−2λt
and
−λ δ 2λν+1  e2λt ν+1 2ν+1 n λe2λt y 2 o
pt (0, y) = y exp − 2λt .
Γ(ν + 1) e2λt − 1 e −1
For a δ-dimensional (δ < 2) radial Ornstein-Uhlenbeck process with parameter −λ, the
density −λ pδx (t) of the first hitting time of 0 for the radial Ornstein-Uhlenbeck process was
calculated in Elworthy-Li-Yor [4], by using the time reversal argument, that is, for δ < 2, λ >
0, x > 0, the density of T0 = inf{t > 0 : Xt = 0} under −λ Pxδ is

−λ δ x2−δ nλ
2
oh λ i 4−δ
2
px (t) = ν
exp [δt + x (1 − coth(λt))] . (2.1)
2 Γ(ν) 2 sinh(λt)

For simplicity, we can write (2.1) in the following form:

−λ δ
px (t) = e2λt φx (uλ (t)), (2.2)
2
x2−δ δ x
where φx (t) = δ ( 1 )2− 2 e− 2t .
21− 2 Γ(1− δ2 ) t
From equation (1.1), we know that the generator of the squared δ-dimensional radial
d2 d
Ornstein-Uhlenbeck process with parameter −λ is A= 2x dx 2 + (δ − 2λx) dx , and its scale

function and speed measure density are, respectively,

Z x
δ
s̃(x) = y − 2 eλy dy,
0

and
1 δ −1 −λx
m̃(x) = x2 e .
2
516 ACTA MATHEMATICA SCIENTIA Vol.28 Ser.B

By the transforming property, we can deduce that the scale function and the speed mea-
sure density of the δ-dimensional radial Ornstein-Uhlenbeck process with parameter −λ are,
respectively,
Z x2
δ
s(x) = y − 2 eλy dy,
0
and
1 δ−1 −λx2
m(x) = x e .
4
Obviously, the scale function s(x) satisfies

Ls(x) = 0, s(0) = 0,
2
d
where L = 12 dx δ−1 d
2 +( 2x −λx) dx is the generator of the δ-dimensional radial Ornstein-Uhlenbeck

process with parameter −λ, which can also be represented by

1 1 d  δ−1 d  d
L= x − λx .
2 xδ−1 dx dx dx
From Kent [6], it is seen that, if 0 < δ < 2, the domain of this generator is

DL = {f ∈ C 2 (0, ∞) : lim xδ−1 f (x) = 0 and both Lf (0+), Lf (∞−) exist}.

x→0

Therefore, s(Xt )I{T0 >t} is a local martingale, and for x ∈ (0, M ), we have

−λ s(x)
Pxδ (TM < T0 ) = .
s(M )

For all λ ∈ R and δ ≥ 0, it is observed that the boundary ∞ is natural and unattainable,
so we have, for any l > 0
lim −λ Pxδ (TM < l) = 0.
M→∞

3 Quasi-stationary Distributions for the Conditioned Radial Ornstein-

Uhlenbeck Process

Generally, for a submarkovian semigroup (P̄t ), a measure µ is quasi-invariant if there exists

a real c such that µP̄t = e−ct µ for any t. If in addition µ is a probability measure then it is
called a quasi-stationary distribution. When µ is absolutely continuous, its density ϕ is a left
eigenfunction for the semigroup, that is, ϕP̄t = e−ct ϕ. Any positive left eigenfunction ϕ of the
semigroup (P̄t ) associated to c induces the transition probability density

ϕ(y)
q (c) (t, x, y) = ect p̄(t, x, y),
ϕ(x)

where p̄ is the transition density of the semigroup (P̄t ).

In this article, we want to investigate the quasi-stationary distribution of the conditioned
radial Ornstein-Uhlenbeck process with dimension δ < 2.
The following lemma plays an important role in our results.
Lemma 3.1 For δ < 2, let x, y, s be any positive numbers and t > s, then
No.3 Ye: QUASI-STATIONARY DISTRIBUTIONS 517

−λ
Pyδ (T0 >t−s)
(1) lim −λ P δ (T >t) = ( xy )2−δ exp{(2 − δ)λs};
t→∞ x 0
1
(2) lim log{−λ Pxδ (T0 > t)} = −(2 − δ)λ;
t→∞ t
−λ
Pxδ (T0 >t)
(3) lim −λ P δ (T >t) = x2−δ , ∀x > 0.
t→∞ 1 0

Proof (1) By L’Hôspital’s rule, we deduce from equation (2.1) that

−λ −λ δ
Pyδ (T0 > t − s) py (t − s)
lim −λ δ
= lim −λ
t→∞ Px (T0 > t) t→∞ pδx (t)
 y 2−δ n λ o
= lim exp − [δs − y 2 (1 − coth(λ(t − s))) + x2 (1 − coth(λt))]
t→∞ x 2
 sinh(λt)  4−δ 2
·
sinh(λ(t − s))
 y 2−δ
= exp{(2 − δ)λs}.
x
(2) From equation (2.2), using the L’Hôspital’s rule, we know

1 −−λ pδ (t) (−λ pδ (t))′

lim log{−λ Pxδ (T0 > t)} = lim R ∞ −λ δx = lim −λ xδ
t→∞ t t→∞
t
px (s)ds t→∞ px (t)
∂
2λe2λt φx (uλ (t)) + e2λt u′λ (t) ∂t φx (uλ (t))
= lim .
t→∞ e2λt φx (uλ (t))
Note that
∂  δ  x2 
φx (t) = − 2 t−1 + 2 φx (t),
∂t 2 2t
therefore, we have
1
log{−λ Pxδ (T0 > t)} = −(2 − δ)λ.
lim
t t→∞

(3) It is easy to deduce like (1).

In the following Lemma 3.2, a remarkable relationship between the law of the δ-dimensional
radial Ornstein-Uhlenbeck process and that of the (4−δ)-dimensional radial Ornstein-Uhlenbeck
process with the same parameter −λ is derived.
Lemma 3.2 For δ̃ > 2
 eλt δ̃−2
−λ δ̃ 
(Xt∧T0 )δ̃−2 ·−λ Px4−δ̃ Ft .
 
Px Ft = (3.1)
x
Proof See Elworthy-Li-Yor [4].
The first main result of our article is
Theorem 3.3 For λ ≥ 0, δ < 2, as t tends to ∞, the conditional distribution −λ Pxδ (X ∈
A|T0 > t), A ∈ Fs , converges weakly to −λ Px4−δ (X ∈ A), where −λ Px4−δ is the distribution of
the (4 − δ)-dimensional radial Ornstein-Uhlenbeck process starting from x.
Proof For any s > 0 and any A ∈ Fs , using the Markov property, we get
−λ
−λ Pxδ (X ∈ A, T0 > t)
Pxδ (X ∈ A|T0 > t) = −λ P δ (T > t)
x 0
−λ
Exδ (X ∈ A, T0 > s,−λ PX δ
(T0 > t − s)
= −λ P δ (T > t)
s

x 0
−λ δ
 P (T0 > t − s) 
= −λ Exδ X ∈ A, T0 > s, −λXs δ .
Px (T0 > t)
518 ACTA MATHEMATICA SCIENTIA Vol.28 Ser.B

By Lemma 3.1 and the dominated convergence theorem, we conclude that

  X 2−δ 
s
lim −λ Pxδ (X ∈ A|T0 > t) = −λ Exδ X ∈ A, T0 > s, e(2−δ)λs .
t→∞ x
From Lemma 3.2, we have

lim −λ Pxδ (X ∈ A|T0 > t) = −λPx4−δ (X ∈ A).

t→∞

Therefore, the limit distribution corresponds to a (4 − δ)-dimensional radial Ornstein-

Uhlenbeck process starting from x.
As pointed by the works of Martinez and Martin [8], the exponential decay for the absorp-
tion probability is a very important quantity in researching the quasi-stationary distribution of
a conditioned process. In Theorem 3.3, we have derived that quantity. Next we will give the
results of the quasi-stationary distribution of a conditioned Ornstein-Uhlenbeck process.
In Elworthy-Li-Yor[4], a wonderful time reversal result for the radial Ornstein-Uhlenbeck
processes was deduced. If λ ≥ 0, δ < 2, for any bounded measurable function F on path space,
we have
Ex [F (Yt ; t ≤ T0 )] = h(x) ·λ E04−δ [F (YLx −t ; t ≤ Lx )e2λLx ],
−λ δ
(3.2)

where Lx is the last time of the (4 − δ)-dimensional radial Ornstein-Uhlenbeck process, starting
from 0, hitting x, and h is a deterministic function given in [4]. In particular, we have
−λ
Pxδ (T0 ∈ du) = h(x)e2λu ·λ P04−δ (Lx ∈ du).

From formula (3.2), we can deduce the sub-Markovian semigroup of the δ-dimensional
radial Ornstein-Uhlenbeck process X
−λ
Exδ [f (Yt ; t ≤ T0 )] = h(x) ·λ E04−δ [f (YLx −t ; t ≤ Lx )e2λLx ].

Thus,
Z ∞
−λ
Exδ [f (Yt ; t ≤ T0 )] = λ
E04−δ [f (Xu−t )]h(x)e2λu ·λ P04−δ (Lx ∈ du)
t
Z ∞
= λ
E04−δ [f (Xu−t )] ·−λ Pxδ (T0 ∈ du)
Zt ∞
= λ
E04−δ [f (Xu−t )] ·−λ pδx (u)du
t
Z ∞
= λ
E04−δ [f (Xu−t )] ·−λ pδx (u + t)du.
0

Therefore, the process {Xt ; t ≤ T0 } has the transition density

Z ∞
−λ δ λ 4−δ
p̄ (t, x, y) = pu (0, y) · −λ pδx (u + t)du
0
Z ∞
2y
= φx (uλ (s + t))φy (uλ (s))e2λ(s+t) ds.
0 2 − δ
Note that
∂  δ  x2 
φx (t) = − 2 t−1 + 2 φx (t),
∂t 2 2t
No.3 Ye: QUASI-STATIONARY DISTRIBUTIONS 519

∂ 2 − δ x
φx (t) = − φx (t),
∂x x t
∂2  (2 − δ)(1 − δ) 5 − 2δ x2 
φx (t) = − + 2 φx (t),
∂x2 x2 t t
−λ δ
we can easily verify that the transition density p̄ (t, x, y) is the fundamental solution of the
following Kolomogorov backward equation

∂ −λ δ 1 ∂ 2 −λ δ δ − 1  ∂
−λ δ
p̄ (t, x, y) = 2
p̄ (t, x, y) + − λx p̄ (t, x, y).
∂t 2 ∂x 2x ∂x
It means that {Xt ; t ≤ T0 } has the generator with the form as Lf = 21 f ′′ + ( δ−1 ′
2x − λx)f .
In this article, we denote the semigroup of {Xt ; t ≤ T0 } by P̄t . In order to find the left
eigenfunction ϕ for the semigroup P̄t , that is, ϕP̄t = e−ct ϕ, we consider the following equation

Lϕ = −cϕ, ϕ(0) = 0, lim xδ−1 ϕ′ (x) = 0. (3.3)

x→0

The following Lemma 3.4 shows that if c ∈ (0, (2 − δ)λ), any solution ϕc of equation (3.3)
is the left eigenfunction for the semigroup P̄t .
Lemma 3.4 For any c ∈ (0, (2 − δ)λ), if ϕc satisfies equation (3.3), then we have
−λ δ
Ex (ϕc (Xs ), s < T0 ) = e−cs ϕc (x), ∀x ≥ 0, s > 0.

Moreover,
Z T0  (2 − δ)λ − c
−λ δ
 δ 
ϕc (x) = c · Ex ϕc (Xs )ds = x2−δ · 1 F1 , 2 − ; λx2 ∀x ≥ 0,
0 2λ 2
where 1F1 (a, b; z) is the Kummer confluent hypergeometric function defined by
∞
X (a)j zj
1F1 (a, b; z) = · ,
j=0
(b)j j!

for b 6= 0, −1, −2, · · ·, and

Γ(r + j)
(r)0 = 1, (r)j = = r(r + 1) · · · (r + j − 1), j = 1, 2, · · · .
Γ(r)
Proof First of all, we show that if c ∈ (0, (2 − δ)λ), equation (3.3) has a positive solution.
Because ϕc satisfies the equation Lϕ = cϕ, from Itô’s rule, we know
Z t∧T0
Mt = ϕc (Xt∧T0 ) − ϕc (x) − Lϕc (Xs )ds
0

−λ δ
is a local martingale (with respect to Px and Ft ), this is equivalent to
ϕc (Xt ) ct
Nt = e I{t<T0 } ,
ϕc (x)

to be a local martingale (with respect to −λPxδ and Ft ).

Since δ < 2, from Lemma 3.2, we find that
 x 2−δ ϕ (X )
c t (c−(2−δ)λ)t
Kt = e ,
Xt ϕc (x)
520 ACTA MATHEMATICA SCIENTIA Vol.28 Ser.B

is a local martingale (with respect to −λPx4−δ and Ft ).

Now let (Sn , n ∈ N ) be a reducing sequence of stopping times for Kt , i.e., (Sn , n ∈ N )
increases to ∞ as n → ∞ and is such that each (Kt∧Sn ) is a uniformly integrable martingale.
By means of the optional stopping theorem, we obtain that, for any 0 < a < ∞,
 
−λ 4−δ x 2−δ ϕc (XSn ∧Ta ) (c−(2−δ)λ)(Sn ∧Ta )
Ex e = 1.
XSn ∧Ta ϕc (x)

As n tends to ∞, we have
 a 2−δ ϕ (x)
−λ 4−δ (c−(2−δ)λ)Ta c
Ex (e ) = .
x ϕc (a)

According to the results of the Laplace transform of the hitting time Ta (Göing [5]), when
0 < c ≤ (2 − δ)λ, we have
(2−δ)λ−c δ 2
−λ 4−δ (c−(2−δ)λ)Ta 1 F1 ( 2λ ,2 − 2 ; λx )
Ex (e ) = (2−δ)λ−c
,
δ 2
1 F1 ( 2λ ,2 − 2 ; λa )

where 1F1 (a, b; z) is the Kummer confluent hypergeometric function. Therefore, we can easily
verify that
 (2 − δ)λ − c δ 
ϕc (x) = x2−δ · 1 F1 , 2 − ; λx2
2λ 2
is the solution of equation (3.3), which is unique up to a constant factor.
Now we can show ϕc (0 < c < (2 − δ)λ) is the left eigenfunction for the semigroup P̄t .
Since Nt is a −λPxδ -local martingale, suppose (τn , n ∈ N ) be a reducing sequence of stopping
times for Nt , using the optional stopping theorem, we get
 ϕ (X
t∧τn ) c(t∧τn )

−λ δ c
Ex e I{t∧τn <T0 } = 1.
ϕc (x)

Hence
−λ δ n→∞
Ex (ϕc (Xt∧τn )ec(t∧τn ) I{t∧τn <T0 } ) −→ −λExδ (ϕc (Xt )ect I{t<T0 } ).

Thus, we have
−λ δ
Ex (ϕc (Xs ), s < T0 ) = e−cs ϕc (x) ∀x ≥ 0, s > 0.

Moreover, using the optional stopping theorem to the local martingale Mt as above, we
deduce
Z T0 ∧τn  Z T0 
−λ δ n→∞ −λ δ
ϕc (x) = Ex (ϕc (XT0 ∧τn ) − Lϕc (Xs )ds) −→ c · Ex ϕc (Xs )ds ∀x ≥ 0.
0 0

c
Now let us consider an increasing sequence of stopping times (ηM ) associated to ϕc defined
by
c
ηM = inf{t > 0 : ect ϕc (Xt ) ≥ M }.

Lemma 3.5 Suppose 0 < c < (2 − δ)λ, we have

(1) −λPxδ (T0 > ηM
c
) = ϕcM(x) , if 0 < ϕc (x) < M ;
−λ
Pxδ (ηM
c
<T0 ∧s)
(2) lim −λP δ (η c <T )
0
= 0.
M→∞ x M
No.3 Ye: QUASI-STATIONARY DISTRIBUTIONS 521

−λ δ c c
Proof (1) For any t > 0, since lim Px (ηM ≥ t) = 1, so the stopping times ηM ↑
M→∞
−λ δ
∞, a.s..
Px
Note that Nt = ϕϕcc(X t ) ct
(x) e I{t<T0 } is a
−λ δ
Px -local martingale. Let (τn , n ∈ N ) be a reducing
sequence of stopping times for Nt . For fixed M , using the optional stopping theorem (see
Revuz-Yor[10]), we have
 ϕc (Xτ c )
n ∧ηM c

−λ δ
Ex ec(τn∧ηM ) I{τn ∧ηM
c <T } = 1.
ϕc (x) 0

From the monotone convergence theorem, we get

c
ϕc (x) =−λ Exδ (ϕc (Xτn ∧ηM
c )e
c(τn ∧ηM ) c <T } )
I{τn ∧ηM 0
n→∞ −λ δ
−→ Ex (M I{ηM
c <T } )
0
= M · −λPxδ (ηM
c
< T0 ).

(2) Similar to Martinez and Martin [8].

Theorem 3.6 For any c ∈ (0, (2 − δ)λ), as M tends to ∞, the conditional distribution
−λ δ c
Px (X ∈ A|T0 > ηM ), A ∈ Fs converges weakly to the distribution of a diffusion starting
from x with infinitesimal generator
(4−δ)λ−c
1 d2 2((2 − δ)λ − c)x 1F1 ( 2λ , 3 − 2δ ; λx2 ) 3 − δ
 
d
+ · + − λx ,
2 dx2 4−δ 1F1 (
(2−δ)λ−c δ 2
, 2 − 2 ; λx ) 2x dx
2λ

where 1F1 (a, b; z) is the Kummer confluent hypergeometric function.

Proof For any s > 0, 0 < c < (2 − δ)λ and any A ∈ Fs , from Lemma 3.5, we have
−λ δ
−λ δ
Px (X ∈ A, T0 > ηM c
≥ s) Ex (X
∈ A, T0 > s, ηM c
≥ s,−λ PX δ
s
c −cs
(T0 > ηM e ))
−λP δ (T > η c )
= −λP δ (T > η c )
x 0 M x 0 M
ϕc (Xs ) cs
 
= −λExδ X ∈ A, T0 > s, ηM c
≥ s, e
ϕc (x)
 ϕ c (X s ) 
→ −λExδ X ∈ A, ecs , s < T0 as M → ∞.
ϕc (x)

Therefore, we can deduce from Lemma 3.5 that

−λ δ
 ϕc (Xs ) cs 
lim Px (X c
∈ A|T0 > ηM ) = −λExδ X ∈ A, e , s < T0 .
M→∞ ϕc (x)

Hence, using the formula (3.1), we have

 ϕc (Xs ) cs    x 2−δ ϕ (X ) 
−λ δ c s (c−(2−δ)λ)s
Ex X ∈ A, e , s < T0 = −λEx4−δ X ∈ A, e .
ϕc (x) Xs ϕc (x)

However, from the proof in Lemma 3.4, we know

 x 2−δ ϕ (X )
c s (c−(2−δ)λ)s
e
Xs ϕc (x)
−λ 4−δ
is a Px -local martingale. Therefore, for δ < 2, we have
 eλt δ̃−2
−λ δ̃ 
(Xt∧T0 )δ̃−2 · −λPx4−δ̃ Ft ,
 
Px Ft =
x
522 ACTA MATHEMATICA SCIENTIA Vol.28 Ser.B

where δ̃ = 4 − δ > 2. Thus, according to the proof in Lemma 3.4, we can define a family of
diffusion processes with laws −λP̂x4−δ as

−λ 4−δ  φ̂(Xs )
e(c−(2−δ)λ)s · −λPx4−δ Ft ,
 
P̂x Ft =
φ̂(x)

where φ̂(x) = 1F1 ( (2−δ)λ−c

2λ , 2 − δ2 ; λx2 ). Hence, by Girsanov’s theorem, we know (−λP̂x4−δ ) is
the family of law of a diffusion with infinitesimal generator

1 d2  φ̂′ (x) 3 − δ  d
+ + − λx
2 dx2 φ̂(x) 2x dx
(4−δ)λ−c
!
1 d2 2((2 − δ)λ − c)x 1F1 ( 2λ , 3 − 2δ ; λx2 ) 3 − δ d
= + · + − λx .
2 dx2 4−δ 1F1 (
(2−δ)λ−c δ 2
, 2 − 2 ; λx ) 2x dx
2λ

Acknowledgments The author thanks for the discussions with S. Martinez and J. San
Martin while he visited the Center for Mathematical Modelling at Universidad de Chile. The
author is also grateful for the hospitality received at CMM.

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