Multidimensional process of Ornstein-Uhlenbeck type with nondiagonalizable matrix in linear drift terms

DOI10.1017/S0027763000005523MaRDI QIDQ4882773zbMATH OpenFDO

Authors Ken-Iti Sato, Toshiro Watanabe, Kouji Yamamuro, Makoto Yamazato

Publication date 5 January 2000

Published in Nagoya Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

Ornstein-Uhlenbeck processrecurrencetransienceLevy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25)

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Cites work

• A recurrence criterion for Markov processes of Ornstein-Uhlenbeck type
• Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type
• Recurrence conditions for multidimensional processes of Ornstein- Uhlenbeck type

Cited in

(9)

• Moments and distributions of the last exit times for a class of Markov processes
• On transient Markov processes of Ornstein-Uhlenbeck type
• Long-time behavior of Lévy-driven Ornstein-Uhlenbeck processes with regime switching
• A recurrence criterion for Markov processes of Ornstein-Uhlenbeck type
• Liouville theorems for non-local operators
• On the absolute continuity of multidimensional Ornstein-Uhlenbeck processes
• Positive recurrence of piecewise Ornstein-Uhlenbeck processes and common quadratic Lyapunov functions
• On the Cauchy problem for non-local Ornstein-Uhlenbeck operators
• Recurrence conditions for multidimensional processes of Ornstein- Uhlenbeck type

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