发表状态 | 已发表Published |
题名 | Existence of limiting distribution for affine processes |
作者 | |
发表日期 | 2020-06-15 |
发表期刊 | Journal of Mathematical Analysis and Applications
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ISSN/eISSN | 0022-247X |
卷号 | 486期号:2 |
摘要 | In this paper, sufficient conditions are given for the existence of limiting distribution of a conservative affine process on the canonical state space R ×R, where m,n∈Z with m+n>0. Our main theorem extends and unifies some known results for OU-type processes on R and one-dimensional CBI processes (with state space R). To prove our result, we combine analytical and probabilistic techniques; in particular, the stability theory for ODEs plays an important role. |
关键词 | Affine process Generalized Riccati equation Limiting distribution Stationary distribution |
DOI | 10.1016/j.jmaa.2020.123912 |
URL | 查看来源 |
收录类别 | SCIE ; SSCI |
语种 | 英语English |
WOS研究方向 | Mathematics |
WOS类目 | Mathematics, Applied ; Mathematics |
WOS记录号 | WOS:000519337100007 |
Scopus入藏号 | 2-s2.0-85078740749 |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | https://repository.uic.edu.cn/handle/39GCC9TT/7931 |
专题 | 个人在本单位外知识产出 |
通讯作者 | Jin, Peng |
作者单位 | 1.Department of Mathematics, Shantou University, Shantou, 515063, China 2.Fakultät für Mathematik und Naturwissenschaften, Bergische Universität Wuppertal, Wuppertal, 42119, Germany |
推荐引用方式 GB/T 7714 | Jin, Peng,Kremer, Jonas,Rüdiger, Barbara. Existence of limiting distribution for affine processes[J]. Journal of Mathematical Analysis and Applications, 2020, 486(2). |
APA | Jin, Peng, Kremer, Jonas, & Rüdiger, Barbara. (2020). Existence of limiting distribution for affine processes. Journal of Mathematical Analysis and Applications, 486(2). |
MLA | Jin, Peng,et al."Existence of limiting distribution for affine processes". Journal of Mathematical Analysis and Applications 486.2(2020). |
条目包含的文件 | 条目无相关文件。 |
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