Perpetual integral functionals of multidimensional stochastic processes

DOI10.1080/17442508.2021.1900185zbMATH Open1492.60221arXiv2006.09140OpenAlexW3034235231MaRDI QIDQ5086728FDOQ5086728

Authors: José L. Silva, Yuri Kondratiev, Yuliya S. Mishura 

Publication date: 7 July 2022

Published in: Stochastics (Search for Journal in Brave)

Abstract: The paper is devoted to the existence of integral functionals $in{t}_0^{i}nftyf(X(t)),mathrmdt$ for several classes of processes in $mathbbR$ with $dge3$. Some examples such as Brownian motion, fractional Brownian motion, compound Poisson process, Markov processes admitting densities of transitional probabilities are considered.

Full work available at URL: https://arxiv.org/abs/2006.09140

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zbMATH Keywords

Markov processBrownian motionfractional Brownian motioncompound Poisson processmultidimensional processesperpetual integral functionals

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Continuous-time Markov processes on general state spaces (60J25) Norms (inequalities, more than one norm, etc.) of linear operators (47A30)

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Cited In (7)

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• Random potentials for Markov processes
• A note on a.s. finiteness of perpetual integral functionals of diffusions
• Perpetual integrals via random time changes
• Perpetual integral functionals as hitting and occupation times
• Perpetual integrals for Lévy processes
• Perpetual integral functionals of diffusions and their numerical computations

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