Stationary measures for stochastic differential equations with jumps

DOI10.1080/17442508.2016.1158820MaRDI QIDQ2833705zbMATH OpenOpenAlexFDO

Authors Huijie Qiao, Jinqiao Duan

Publication date 25 November 2016

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1209.0658

zbMATH Keywords

Fokker-Planck equationsLyapunov functionsMarkov measuresstationary measures

Mathematics Subject Classification ID

Set functions and measures on topological groups or semigroups, Haar measures, invariant measures (28C10) Stable stochastic processes (60G52) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Transition functions, generators and resolvents (60J35)

Abstract: In the paper, stationary measures of stochastic differential equations with jumps are considered. Under some general conditions, existence of stationary measures is proved through Markov measures and Lyapunov functions. Moreover, for two special cases, stationary measures are given by solutions of Fokker-Planck equations and long time limits for the distributions of system states.

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