Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1157069 | Stochastic Processes and their Applications | 2007 | 22 Pages |
Abstract
Let XX be a multidimensional diffusion with jumps. We provide sets of conditions under which: XX fulfils the ergodic theorem for any initial distribution; and XX is exponentially ββ-mixing. Utilizing the Foster–Lyapunov drift criteria developed by Meyn and Tweedie, we extend several existing results concerning diffusions. We also obtain the boundedness of moments of g(Xt)g(Xt) for a suitable unbounded function gg. Our results can cover a wide variety of diffusions with jumps by selecting suitable test functions, and serve as fundamental tools for statistical analyses concerning the processes.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Hiroki Masuda,