Limit theorems for null recurrent Markov processes

DOI10.1090/MEMO/0768MaRDI QIDQ4799698zbMATH OpenOpenAlexWikidataFDO

Authors R. Höpfner, E. Löcherbach

Publication date 25 March 2003

Published in Memoirs of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/memo/0768

zbMATH Keywords

Harris recurrenceweak convergence of martingalesintegrable additive functionalsMarkov processes in continuous time

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Continuous-time Markov processes on general state spaces (60J25) Martingales with continuous parameter (60G44)

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• On some ergodic impulse control problems with constraint
• The law of iterated logarithm for additive functionals and martingale additive functionals of Harris recurrent Markov processes
• Deviation inequalities for centered additive functionals of recurrent Harris processes having general state space
• On the functional estimation of multivariate diffusion processes
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• Deterministic equivalents of additive functionals of recurrent diffusions and drift estimation
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• A CLT for a class of stochastic integrals with application in statistics
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• Strong invariance principles for ergodic Markov processes
• Testing for the presence of jump components in jump diffusion models
• NONPARAMETRIC STOCHASTIC VOLATILITY
• Limit theorems for local times and applications to SDEs with jumps
• Stationarity-based specification tests for diffusions when the process is nonstationary
• Nonparametric estimation of jump diffusion models
• Limit theorems for some continuous-time random walks
• Propagation of chaos and phase transition in a stochastic model for a social network
• Two consistent estimators for the skew Brownian motion
• A Brownian particle in a microscopic periodic potential
• Limit distributions of some integral functionals for null-recurrent diffusions.
• Estimation of volatility functions in jump diffusions using truncated bipower increments
• Polynomial bounds in the Ergodic theorem for one-dimensional diffusions and integrability of hitting times

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