Recurrence and transience for jump–diffusion processes
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Publication:4526879
DOI10.1080/07362990008809711zbMath0981.60074OpenAlexW2060924433MaRDI QIDQ4526879
Publication date: 20 May 2001
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362990008809711
Related Items (6)
Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models ⋮ Ergodicity of Lévy-Type Processes ⋮ On the functional estimation of jump-diffusion models. ⋮ Bias reduction estimation for drift coefficient in diffusion models with jumps ⋮ Feynman–Kac formulas for regime-switching jump diffusions and their applications ⋮ Exact simulation of the first passage time through a given level of jump diffusions
Cites Work
- Sato's conjecture on recurrence conditions for multidimensional processes of Ornstein-Uhlenbeck type
- Stability in distribution for a class of singular diffusions
- Criteria for recurrence and existence of invariant measures for multidimensional diffusions
- Recurrence conditions for multidimensional processes of Ornstein- Uhlenbeck type
- Stability for multidimensional jump-diffusion processes
- Ergodic Properties of Recurrent Diffusion Processes and Stabilization of the Solution to the Cauchy Problem for Parabolic Equations
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