Stability properties of constrained jump-diffusion processes

DOI10.1214/EJP.V7-121zbMath1011.60061arXivmath/0501014MaRDI QIDQ1858669

Amarjit Budhiraja, Rami Atar

Publication date: 13 February 2003

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0501014

zbMATH Keywords

jump diffusion processesHarris recurrencestability coneSkorokhod map

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Stability of solutions to ordinary differential equations (34D20) Diffusion processes (60J60)

Related Items (11)

Parameter estimation for generalized diffusion processes with reflected boundary ⋮ On first passage times of sticky reflecting diffusion processes with double exponential jumps ⋮ Stability of coupled jump diffusions and applications ⋮ Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes ⋮ Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes ⋮ Sub-exponential rate of convergence to equilibrium for processes on the half-line ⋮ Existence and characterization of product-form invariant distributions for state-dependent stochastic networks in the heavy-traffic diffusion limit ⋮ A note on jump Atlas models ⋮ A general lower bound of parameter estimation for reflected Ornstein–Uhlenbeck processes ⋮ Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein-Uhlenbeck processes ⋮ Explicit Rates of Exponential Convergence for Reflected Jump-Diffusions on the Half-Line

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