Stationary distributions for jump processes with memory
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Contributors
Abstract
We analyze a jump processes Z with a jump measure 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 |
|---|---|
| Pages (from-to) | 609-630 |
| Number of pages | 22 |
| Journal | Annales de l'institut Henri Poincare. B, Probability and Statistics |
| Volume | 48 |
| Issue number | 3 |
| Publication status | Published - Aug 2012 |
| Peer-reviewed | Yes |
Keywords
ASJC Scopus subject areas
Keywords
- Process with memory, Stable Lévy process, Stationary distribution