Result: Ergodicity and exponential β-mixing bounds for multidimensional diffusions with jumps
Title:
Ergodicity and exponential β-mixing bounds for multidimensional diffusions with jumps
Authors:
Source:
Stochastic processes and their applications. 117(1):35-56
Publisher Information:
Amsterdam: Elsevier Science, 2007.
Publication Year:
2007
Physical Description:
print, 34 ref
Original Material:
INIST-CNRS
Subject Terms:
Computer science, Informatique, Mathematics, Mathématiques, Sciences exactes et technologie, Exact sciences and technology, Sciences et techniques communes, Sciences and techniques of general use, Mathematiques, Mathematics, Probabilités et statistiques, Probability and statistics, Théorie des probabilités et processus stochastiques, Probability theory and stochastic processes, Lois de probabilités, Distribution theory, Processus stochastiques, Stochastic processes, Analyse statistique, Statistical analysis, Análisis estadístico, Calcul n dimensions, Many-dimensional calculations, Diffusion saut, Jump diffusion, Difusión salto, Ergodicité, Ergodicity, Ergodicidad, Fonction répartition, Distribution function, Función distribución, Processus diffusion, Diffusion process, Proceso difusión, Processus stochastique, Stochastic process, Proceso estocástico, Théorème ergodique, Ergodic theorem, Teorema ergódico, Borne exponentielle, Critère dérive Foster-Lyapunov, Foster-Lyapunov drift criterium, Fonction saut, Irréductibilité, Propriété β-mélange, β-mixing property, (Exponential) β-mixing property, Diffusion with jumps, Foster-Lyapunov drift criteria, Irreducibility
Document Type:
Academic journal
Article
File Description:
text
Language:
English
Author Affiliations:
Graduate School of Mathematics, Kyushu University, 6-10-1 Hakozaki, Higashi-ku, Fukuoka 812-8581, Japan
ISSN:
0304-4149
Rights:
Copyright 2007 INIST-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
Notes:
Mathematics
Accession Number:
edscal.18465060
Database:
PASCAL Archive
Further Information
Let X be a multidimensional diffusion with jumps. We provide sets of conditions under which: X fulfils the ergodic theorem for any initial distribution; and X is exponentially β-mixing. Utilizing the Foster-Lyapunov drift criteria developed by Meyn and Tweedie, we extend several existing results concerning diffusions. We also obtain the boundedness of moments of g(X,) for a suitable unbounded function g. Our results can cover a wide variety of diffusions with jumps by selecting suitable test functions, and serve as fundamental tools for statistical analyses concerning the processes.