Ergodic properties for -CIR models and a class of generalized Fleming-Viot processes

DOI10.1214/EJP.V19-2928zbMATH Open1327.60167arXiv1307.2407MaRDI QIDQ743490FDOQ743490

Authors: Kenji Handa 

Publication date: 24 September 2014

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: We discuss a Markov jump process regarded as a variant of the CIR (Cox-Ingersoll-Ross) model and its infinite-dimensional extension. These models belong to a class of measure-valued branching processes with immigration, whose jump mechanisms are governed by certain stable laws. The main result gives a lower spectral gap estimate for the generator. As an application, a certain ergodic property is shown for the generalized Fleming-Viot process obtained as the time-changed ratio process.

Full work available at URL: https://arxiv.org/abs/1307.2407

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zbMATH Keywords

Markov jump processCIR modelspectral gapgeneralized Fleming-Viot processmeasure-valued branching process

Mathematics Subject Classification ID

Random measures (60G57) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

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• Necessary and sufficient conditions for ergodicity of CIR model driven by stable processes with Markov switching

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