A property of Petrov's diffusion

Published 19 Jun 2014 in math.PR | (1406.5198v1)

Abstract: Petrov constructed a diffusion process in the Kingman simplex whose unique stationary distribution is the two-parameter Poisson-Dirichlet distribution of Pitman and Yor. We show that the subset of the simplex comprising vectors whose coordinates do not sum to 1 acts like an entrance boundary for the diffusion.

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S. N. Ethier

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