Stationary distributions for jump processes with memory

DOI10.1214/11-AIHP428MaRDI QIDQ441237zbMATH OpenOpenAlexFDO

Authors K. Burdzy, T. Kulczycki, R. L. Schilling

Publication date 20 August 2012

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1010.1572, https://projecteuclid.org/euclid.aihp/1340714865

zbMATH Keywords

stationary distributionprocess with memorystable Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Transition functions, generators and resolvents (60J35) Local time and additive functionals (60J55)

Abstract: We analyze a jump processes $Z$ with a jump measure determined by a "memory" process $S$. The state space of $(Z,S)$ is the Cartesian product of the unit circle and the real line. We prove that the stationary distribution of $(Z,S)$ is the product of the uniform probability measure and a Gaussian distribution.

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Cites work

• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
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• A Gaussian oscillator
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• Stationary distributions for diffusions with inert drift

Cited in

(9)

• Exact distributions in a jump-diffusion storage model.
• Sticky flows on the circle and their noises
• Billiards with Markovian reflection laws
• The stationary distribution of a Markov jump process glued together from two state spaces at two vertices
• Stationary jump processes for planar directions obtained by wrapping
• Stationary jump and diffusion processes for planar directions obtained by wrapping
• Stationary Distributions for Jump Processes with Inert Drift
• Stochastic systems with memory and jumps
• Stationary distribution of a stochastic process

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