Explicit Rates of Exponential Convergence for Reflected Jump-Diffusions on the Half-Line
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competing Lévy particlesexponential convergence rategap processjump measureLyapunov functionreflected jump-diffusionsreflected Lévy processstochastic dominationstochastically ordered processuniform ergodicity
Inequalities; stochastic orderings (60E15) Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Brownian motion (60J65) Interacting random processes; statistical mechanics type models; percolation theory (60K35)
Abstract: Consider a reflected jump-diffusion on the positive half-line. Assume it is stochastically ordered. We apply the theory of Lyapunov functions and find explicit estimates for the rate of exponential convergence to the stationary distribution, as time goes to infinity. This continues the work of Lund, Meyn and Tweedie (1996). We apply these results to systems of two competing Levy particles with rank-dependent dynamics.
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(11)- Weak convergence of obliquely reflected diffusions
- A note on jump Atlas models
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