کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1156965 | 958903 | 2008 | 21 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On Nummelin splitting for continuous time Harris recurrent Markov processes and application to kernel estimation for multi-dimensional diffusions
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: On Nummelin splitting for continuous time Harris recurrent Markov processes and application to kernel estimation for multi-dimensional diffusions On Nummelin splitting for continuous time Harris recurrent Markov processes and application to kernel estimation for multi-dimensional diffusions](/preview/png/1156965.png)
چکیده انگلیسی
We introduce a sequence of stopping times that allow us to study an analogue of a life-cycle decomposition for a continuous time Markov process, which is an extension of the well-known splitting technique of Nummelin to the continuous time case. As a consequence, we are able to give deterministic equivalents of additive functionals of the process and to state a generalisation of Chen’s inequality. We apply our results to the problem of non-parametric kernel estimation of the drift of multi-dimensional recurrent, but not necessarily ergodic, diffusion processes.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 118, Issue 8, August 2008, Pages 1301–1321
Journal: Stochastic Processes and their Applications - Volume 118, Issue 8, August 2008, Pages 1301–1321
نویسندگان
Eva Löcherbach, Dasha Loukianova,