Perpetual integral functionals of multidimensional stochastic processes

DOI10.1080/17442508.2021.1900185MaRDI QIDQ5086728zbMATH OpenOpenAlexFDO

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

Publication date 7 July 2022

Published in Stochastics (Search for Journal in Brave)

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

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)

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.

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Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
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• Brownian moving averages have conditional full support
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• Green measures for Markov processes
• On the local time of the Brownian motion
• Properties of perpetual integral functionals of Brownian motion with drift
• Two-sided estimates of heat kernels on metric measure spaces

Cited in

(7)

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

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