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An exponential change of measure for the Feller diffusion and some implications for superprocesses

Part of: Stochastic analysis Stochastic processes Markov processes

Published online by Cambridge University Press:  14 July 2016

Robert J. Adler  and
Srikanth K. Iyer
Robert J. Adler*
Affiliation:
Technion, Israel Institute of Technology
Srikanth K. Iyer*
Affiliation:
Indian Institute of Technology
*
∗Postal address: Faculty of Industrial Engineering and Management, Technion, Haifa, 32000 Israel. Email address: robert@ieadler.technion.ac.il
∗∗Postal address: Department of Mathematics, Indian Institute of Technology, Kanpur, UP 27516, India. Email address: skiyer@iitk.ernet.in
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Abstract

Let Xt be a Feller (branching) diffusion with drift αx. We consider new processes, the probability measures of which are obtained from that of X via changes of measure involving suitably normalized exponential functions of with λ > 0. The new processes can be thought of as ‘self-reinforcing’ versions of the old.

Depending on the values of α, T and λ, the process under the new measure is shown to exhibit explosion in finite time. We also obtain a number of other results related to the new processes.

Since the Feller diffusion is also the total mass process of a superprocess, we relate the finite-time explosion property to the behaviour of superprocesses with local self-interaction, and raise some interesting questions for these.

Keywords

Feller diffusionchange of measureoccupation measureself-reinforcementself-interactionsuperprocess

MSC classification

Primary: 60J55: Local time and additive functionals 60G57: Random measures
Secondary: 60G30: Continuity and singularity of induced measures 60H15: Stochastic partial differential equations
Type
Short Communications
Information
Journal of Applied Probability , Volume 37 , Issue 1 , March 2000 , pp. 236 - 245
Copyright
Copyright © 2000 by The Applied Probability Trust 

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Footnotes

Research supported in part by US–Israel Binational Science Foundation, Israel Science Foundation, and National Science Foundation (RJA).

Research supported in part by ONR Grant No. N00014-94-1-0191 (SKI).

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