ON STABILITY OF DIFFUSIONS WITH COMPOUND-POISSON JUMPS - Collections

＜journal article＞
ON STABILITY OF DIFFUSIONS WITH COMPOUND-POISSON JUMPS

Creator	Author PID K002496 Creator Name Masuda, Hiroki 増田, 弘毅 Affiliation Affiliation Name Graduate School of Mathematics, Kyushu University 九州大学大学院数理学研究院数理科学部門
Language	English
Publisher	Research Association of Statistical Sciences
Publisher	統計科学研究会
Date	2008-12
Source Title	Bulletin of informatics and cybernetics
Vol	40
First Page	61
Last Page	74
Publication Type	Version of Record
Access Rights	open access
Crossref DOI	https://doi.org/10.5109/18994
Related DOI	Bulletin of informatics and cybernetics \|\| 40 \|\| p61-74
Related DOI	http://bic.math.kyushu-u.ac.jp/
Related URI	Bulletin of informatics and cybernetics \|\| 40 \|\| p61-74
Related URI	http://bic.math.kyushu-u.ac.jp/
Relation	Bulletin of informatics and cybernetics \|\| 40 \|\| p61-74
Relation	http://bic.math.kyushu-u.ac.jp/
Abstract	We give sets of fairly easy conditions under which a multidimensional diffusion with compound-Poisson jumps possesses several global-stability properties: (exponential) ergodicity, (exponential) β-mix...ing property, and also boundedness of moments. These are important to statistical inference under long-time asymptotics. The proof in this article is based on Masuda (2007), but we here demonstrate an explicit construction of a “T-chain kernel”, which enables us to deal with a broad class of finite-jump parts under smoothness of the coefficients plus pointwise nondegeneracy of the diffusion-coefficient matrix.show more

File	FileType	Size	Views	Description
p061	pdf	151 KB	336

PISSN	0286-522X
EISSN	2435-743X
NCID	AA10634475
Record ID	18994
Peer-Reviewed	Refereed
Subject Terms	Boundedness of moments
	diffusion with compound-Poisson jumps
	(exponential) ergodicity
	(exponential) β-mixing property
Type	学術雑誌論文
Created Date	2011.03.01
Modified Date	2020.10.22