Stationary Distributions for Jump Processes with Inert Drift

Research output: Contribution to book/Conference proceedings/Anthology/ReportConference contributionContributedpeer-review

Contributors

  • K. Burdzy - , University of Washington (Author)
  • T. Kulczycki - , Polish Academy of Sciences, Wrocław University of Science and Technology (Author)
  • R. L. Schilling - , Chair of Probability Theory (Author)

Abstract

We analyze jump processes Z with "inert drift" determined by a "memory" process S. The state space of (Z, S) is the Cartesian product of the unit circle and the real line. We prove that the stationary distribution of (Z, S) is the product of the uniform probability measure and a Gaussian distribution.

Details

Original languageEnglish
Title of host publicationMalliavin Calculus and Stochastic Analysis
PublisherSpringer Verlag, New York
Pages139-172
Number of pages34
ISBN (print)9781461459057
Publication statusPublished - 2013
Peer-reviewedYes

Publication series

SeriesSpringer proceedings in mathematics and statistics
Volume34
ISSN2194-1009

Keywords

ASJC Scopus subject areas