Stationary distributions for jump processes with memory

DOI10.1214/11-AIHP428zbMATH Open1263.60072arXiv1010.1572OpenAlexW2963660350MaRDI QIDQ441237FDOQ441237

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

Publication date: 20 August 2012

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

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.

Full work available at URL: https://arxiv.org/abs/1010.1572

zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=stable+L%EF%BF%BD%EF%BF%BDvy+process&go=Go stable L��vy process]stationary distributionprocess with memory

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)

Cites Work

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Cited In (5)

• Exact distributions in a jump-diffusion storage model.
• Sticky flows on the circle and their noises
• Billiards with Markovian reflection laws
• Stationary Distributions for Jump Processes with Inert Drift
• Stochastic systems with memory and jumps

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