Cut-off phenomenon for Ornstein-Uhlenbeck processes driven by Levy processes

被引:21
|
作者
Barrera, Gerardo [1 ]
Pardo, Juan Carlos [2 ]
机构
[1] Univ Helsinki, Helsinki, Finland
[2] CIMAT, Ctr Invest Matemat, Mexico City, DF, Mexico
来源
ELECTRONIC JOURNAL OF PROBABILITY | 2020年 / 25卷
关键词
cut-off phenomenon; Ornstein-Uhlenbeck processes; Levy processes; total variation distance; ABRUPT CONVERGENCE; HITTING TIMES; DISTRIBUTIONS; PERTURBATIONS; EQUATION;
D O I
10.1214/20-EJP417
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
In this paper, we study the cut-off phenomenon under the total variation distance of d-dimensional Ornstein-Uhlenbeck processes which are driven by Levy processes. That is to say, under the total variation distance, there is an abrupt convergence of the aforementioned process to its equilibrium, i.e. limiting distribution. Despite that the limiting distribution is not explicit, its distributional properties allow us to deduce that a profile function always exists in the reversible cases and it may exist in the non-reversible cases under suitable conditions on the limiting distribution. The cut-off phenomena for the average and superposition processes are also determined.
引用
收藏
页数:33
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