Invariant measure for diffusions with jumps

DOI10.1007/s002459900118zbMath0927.35031OpenAlexW2015311965MaRDI QIDQ1292208

Maurice Robin, José Luis Menaldi

Publication date: 5 December 1999

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://digitalcommons.wayne.edu/mathfrp/53

zbMATH Keywords

Green functionDoeblin conditionexterior Dirichlet problemGirsanov transformationjump diffusioninterior Dirichlet problemergodic optimal control

Mathematics Subject Classification ID

Boundary value problems for second-order elliptic equations (35J25) Integro-partial differential equations (45K05) Lyapunov and other classical stabilities (Lagrange, Poisson, (L^p, l^p), etc.) in control theory (93D05) Optimal stochastic control (93E20) Diffusion processes (60J60) Applications of functional analysis to differential and integral equations (46N20)

Related Items (14)

Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models ⋮ Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency ⋮ Green and Poisson functions with Wentzell boundary conditions ⋮ Reweighted Nadaraya-Watson estimation of jump-diffusion models ⋮ On the functional estimation of jump-diffusion models. ⋮ Stability of nonlinear regime-switching jump diffusion ⋮ Bias reduction estimation for drift coefficient in diffusion models with jumps ⋮ A note on existence of global solutions and invariant measures for jump SDEs with locally one-sided Lipschitz drift ⋮ Local \(M\)-estimation for jump-diffusion processes ⋮ Singular ergodic control for multidimensional Gaussian–Poisson processes ⋮ Strong convergence rate of principle of averaging for jump-diffusion processes ⋮ Existence of global solutions and invariant measures for stochastic differential equations driven by Poisson type noise with non-Lipschitz coefficients ⋮ Statistical specification of jumps under semiparametric semimartingale models ⋮ Recurrence and ergodicity for A class of regime-switching jump diffusions

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