On Markov chains induced from stock processes having barriers in finance market

MaRDI QIDQ696166zbMATH OpenFDO

Authors Feng-Rung Hu

Publication date 27 October 2003

Published in Osaka Journal of Mathematics (Search for Journal in Brave)

zbMATH Keywords

diffusion processesinvariant measureMarkov chainsrecurrencetransience

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Diffusion processes (60J60)

Review text

Let \(S = (S_t)_{t\geq 0}\) be a time homogeneous diffusion on \((0,\infty)\) with continuous drift and continuous positive volatility. Construct a Markov chain \(X = (X_n)_{n=0,1,\dots}\) with the help of barriers \(\varrho^-(x) < x < \varrho^+(x)\) depending on the starting point \(x\) of \(S\). The paper then studies how the properties of \(S\) induce recurrence or transience of \(X\) and how they influence the invariant measure of \(X\). The motivation for this purely mathematical study comes from a question in stock markets.

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Cited in

(1)

• Intransitive sets of random variables, boundaries with Markov moments

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