On pathwise rate conservation for a class of semi-martingales (Q689175)

The authors establish the rate conservation principle for càdlàg processes which can include a diffusion term of unbounded variation. The processes under consideration admit a presentation \[ x_ t=x_ 0+\int^ t_ 0\Delta x_ s dN_ s+\int^ t_ 0a(s,x_ s)ds+\int^ t_ 0 \sigma(s,x_ s)dw_ s, \] where \(N_ t=\sum_{s \leq t}1\{x_ s \neq x_{s-}\}\) and it is assumed that \(\limsup_ tN_ t/t<\infty\). Let \(0<t_ 1<t_ 2<\dots\) be the sequence of jump times of \(x\), \(A\) be the compensator of \(N\). The main result is global rate conservation principle: if \(x_ t /t \to 0\), \(t \to \infty\) and \[ \limsup_ t \int^ t_ 0 y^ 2_ sds< \infty, \;y_ t=\sum^ \infty_{n=0} \Delta x_{t_ n}1\{t \in[t_ n,t_{n+1})\}, \] then \[ \lim_{t \to \infty} {1\over t} \left( \int^ t_ 0y_{s-}dA_ s+\int^ t_ 0a(s,x_ s)ds \right) =0 \text{ a.s.}. \] As a consequence the authors obtain a level crossing formula that contains an additional term \(L(t,x_ 0)/2t\), where \(L(t,x_ 0)\) is local time and it equals zero in the case when the diffusion term is absent. Then the authors consider stationary and ergodic processes. In this case they obtain a characterization of invariant distribution and demonstrate the contribution of local time term. In the second part the conservation law is applied to obtain the invariant distribution of Ornstein-Uhlenbeck process with jump reflection in the origin.