Reflecting or sticky Markov processes with Lévy generators as the limit of storage processes

DOI10.1016/0304-4149(94)90105-8zbMath0811.60067OpenAlexW2048362551MaRDI QIDQ1336991

Keigo Yamada

Publication date: 19 April 1995

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(94)90105-8

zbMATH Keywords

storage processinteger-valued random measurelimit theorems for semimartinglesstate-dependent Lévy measuresticky Markov process

Mathematics Subject Classification ID

Diffusion processes (60J60)

Related Items (11)

On the probability of default in a market with price clustering and jump risk ⋮ The sticky Lévy process as a solution to a time change equation ⋮ Boundary approximation for sticky jump-reflected processes on the half-line ⋮ On first passage times of sticky reflecting diffusion processes with double exponential jumps ⋮ Behavior Near Walls in the Mean-Field Approach to Crowd Dynamics ⋮ Stationary distributions for two-dimensional sticky Brownian motions: exact tail asymptotics and extreme value distributions ⋮ Skew Ornstein-Uhlenbeck processes with sticky reflection and their applications to bond pricing ⋮ A result on the Laplace transform associated with the sticky Brownian motion on an interval ⋮ Some explicit results on one kind of sticky diffusion ⋮ Two limit theorems for queueing systems around the convergence of stochastic integrals with respect to renewal processes ⋮ Markov chain approximation of one-dimensional sticky diffusions

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