Stationary measures for stochastic differential equations with jumps

DOI10.1080/17442508.2016.1158820zbMATH Open1351.28027arXiv1209.0658OpenAlexW1834754812MaRDI QIDQ2833705FDOQ2833705

Jinqiao Duan, Huijie Qiao

Publication date: 25 November 2016

Published in: Stochastics (Search for Journal in Brave)

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.

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

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zbMATH Keywords

Fokker-Planck equationsLyapunov functionsstationary measuresMarkov measures

Mathematics Subject Classification ID

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

Cited In (6)

• Stability for Stochastic McKean--Vlasov Equations with Non-Lipschitz Coefficients
• Title not available (Why is that?)
• Convergence to equilibrium for time-inhomogeneous jump diffusions with state-dependent jump intensity
• Limit theorems of SDEs driven by Lévy processes and application to nonlinear filtering problems
• Stationary distribution of mean-field stochastic functional differential equations with jumps
• Stationary Distributions for Jump Processes with Inert Drift

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