Invariant measure for diffusions with jumps

DOI10.1007/S002459900118MaRDI QIDQ1292208zbMATH OpenOpenAlexFDO

Authors José-Luis Menaldi, M. Robin

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

jump diffusionGirsanov transformationGreen functionexterior Dirichlet problemDoeblin conditioninterior Dirichlet problemergodic optimal control

Mathematics Subject Classification ID

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

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Cited in

(21)

• Strong convergence rate of principle of averaging for jump-diffusion processes
• 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
• Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models
• Existence of global solutions and invariant measures for stochastic differential equations driven by Poisson type noise with non-Lipschitz coefficients
• Recurrence and ergodicity for A class of regime-switching jump diffusions
• Stability of nonlinear regime-switching jump diffusion
• On the functional estimation of jump-diffusion models.
• Invariant measures for stochastic evolution equations of pure jump type
• Invariant probability measures for path-dependent random diffusions
• Statistical specification of jumps under semiparametric semimartingale models
• Asymptotics of the Invariant Measure in Mean Field Models with Jumps
• scientific article; zbMATH DE number 5846382 (Why is no real title available?)
• Green and Poisson functions with Wentzell boundary conditions
• Singular ergodic control for multidimensional Gaussian–Poisson processes
• Reweighted Nadaraya-Watson estimation of jump-diffusion models
• scientific article; zbMATH DE number 1931629 (Why is no real title available?)
• Bias reduction estimation for drift coefficient in diffusion models with jumps
• Ergodic behavior of diffusions with random jumps from the boundary
• Invariant probability distributions for measure-valued diffusions.
• Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency

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