Stationary Distributions for Jump Processes with Inert Drift
Research output: Contribution to book/Conference proceedings/Anthology/Report › Conference contribution › Contributed › peer-review
Contributors
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 language | English |
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Title of host publication | Malliavin Calculus and Stochastic Analysis |
Publisher | Springer Verlag, New York |
Pages | 139-172 |
Number of pages | 34 |
ISBN (print) | 9781461459057 |
Publication status | Published - 2013 |
Peer-reviewed | Yes |
Publication series
Series | Springer proceedings in mathematics and statistics |
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Volume | 34 |
ISSN | 2194-1009 |