A criterion for invariant measures of Itô processes based on the symbol

Publikation: Beitrag in FachzeitschriftForschungsartikelBeigetragenBegutachtung

Beitragende

Abstract

An integral criterion for the existence of an invariant measure of an Itô process is developed. This new criterion is based on the probabilistic symbol of the Itô process. In contrast to the standard integral criterion for invariant measures of Markov processes based on the generator, no test functions and hence no information on the domain of the generator is needed.

Details

OriginalspracheEnglisch
Seiten (von - bis)1697-1718
Fachzeitschrift Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability
Jahrgang21
Ausgabenummer3
PublikationsstatusVeröffentlicht - 2015
Peer-Review-StatusJa

Externe IDs

Scopus 84938631588

Schlagworte

Bibliotheksschlagworte