Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156965 | Stochastic Processes and their Applications | 2008 | 21 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Eva Löcherbach, Dasha Loukianova,