Piecewise-deterministic Markov processes

被引：4

作者：

Kazak, Jolanta ^{[1
]}

机构：

[1] Silesian Univ, Inst Math, PL-40007 Katowice, Poland

来源：

ANNALES POLONICI MATHEMATICI | 2013年 / 109卷 / 03期

关键词：

Markov operators; asymptotic stability; Poisson driven differential equation; STABILITY; SEMIGROUPS;

D O I：

10.4064/ap109-3-4

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

Poisson driven stochastic differential equations on a separable Banach space are examined. Some sufficient conditions are given for the asymptotic stability of a Markov operator P corresponding to the change of distribution from jump to jump. We also give criteria for the continuous dependence of the invariant measure for P on the intensity of the Poisson process.

引用

页码：279 / 296

页数：18

共 30 条

[1]

[Anonymous], 2002, ANN POL MATH

[2]

Cont R., 2004, Financial Modelling with Jump Processes

[3] STATIONARY DISTRIBUTIONS FOR PIECEWISE-DETERMINISTIC MARKOV-PROCESSES [J].