Stationary distributions and convergence for Walsh diffusions

DOI10.3150/18-BEJ1059zbMath1431.60089MaRDI QIDQ2325330

Andrey Sarantsev, Tomoyuki Ichiba

Publication date: 25 September 2019

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1568362032

zbMATH Keywords

stochastic differential equationLyapunov functioninvariant measurestationary distributionreflected diffusionergodic processWalsh Brownian motionWalsh diffusion

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Characterization and structure theory of statistical distributions (62E10) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Functional limit theorems; invariance principles (60F17)

Related Items (5)

Convergence rate to equilibrium in Wasserstein distance for reflected jump-diffusions ⋮ Sub-exponential rate of convergence to equilibrium for processes on the half-line ⋮ Exponential convergence rate of ruin probabilities for level-dependent Lévy-driven risk processes ⋮ Dynamic contagion in a banking system with births and defaults ⋮ Stationary distributions and convergence for \(M/M/1\) queues in interactive random environment

Cites Work

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• Rates of convergence of stochastically monotone and continuous time Markov models
• Optimal Transport

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