Cut-off phenomenon for Ornstein-Uhlenbeck processes driven by Levy processes
被引:21
|
作者:
Barrera, Gerardo
论文数: 0引用数: 0
h-index: 0
机构:
Univ Helsinki, Helsinki, FinlandUniv Helsinki, Helsinki, Finland
Barrera, Gerardo
[1
]
Pardo, Juan Carlos
论文数: 0引用数: 0
h-index: 0
机构:
CIMAT, Ctr Invest Matemat, Mexico City, DF, MexicoUniv Helsinki, Helsinki, Finland
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
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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.
机构:
Univ Warwick, Dept Stat, Coventry, W Midlands, EnglandUniv Warwick, Dept Stat, Coventry, W Midlands, England
Qu, Yan
Dassios, Angelos
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机构:
Univ Warwick, Dept Stat, Coventry, W Midlands, EnglandUniv Warwick, Dept Stat, Coventry, W Midlands, England
Dassios, Angelos
Zhao, Hongbiao
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机构:
Shanghai Univ Finance & Econ, Sch Stat & Management, Dept Financial Stat & Risk Management, Shanghai, Peoples R China
Shanghai Inst Int Finance & Econ, Shanghai, Peoples R ChinaUniv Warwick, Dept Stat, Coventry, W Midlands, England
机构:
Peking Univ, LMAM Sch Math Sci, Beijing 100871, Peoples R China
Peking Univ, Ctr Stat Sci, Beijing 100871, Peoples R ChinaPeking Univ, LMAM Sch Math Sci, Beijing 100871, Peoples R China
Ren, Yan Xia
Song, Ren Ming
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机构:
Univ Illinois, Dept Math, Urbana, IL 61801 USAPeking Univ, LMAM Sch Math Sci, Beijing 100871, Peoples R China
Song, Ren Ming
Sun, Zhen Yao
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机构:
Wuhan Univ, Sch Math & Stat, Wuhan 430072, Peoples R China
Technion, Fac Ind Engn & Management, IL-3200003 Haifa, IsraelPeking Univ, LMAM Sch Math Sci, Beijing 100871, Peoples R China
Sun, Zhen Yao
Zhao, Jian Jie
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h-index: 0
机构:
Peking Univ, Sch Math Sci, Beijing 100871, Peoples R ChinaPeking Univ, LMAM Sch Math Sci, Beijing 100871, Peoples R China
机构:
Huaiyin Normal Univ, Sch Math Sci, Huaian 223300, Jiangsu, Peoples R China
Zhejiang Univ, Dept Math, Hangzhou 310027, Zhejiang, Peoples R ChinaHuaiyin Normal Univ, Sch Math Sci, Huaian 223300, Jiangsu, Peoples R China
Zang, Qingpei
Zhu, Chenglian
论文数: 0引用数: 0
h-index: 0
机构:
Huaiyin Normal Univ, Sch Math Sci, Huaian 223300, Jiangsu, Peoples R ChinaHuaiyin Normal Univ, Sch Math Sci, Huaian 223300, Jiangsu, Peoples R China
机构:
Zhejiang Univ, Dept Math, Hangzhou 310027, Zhejiang, Peoples R China
Huaiyin Normal Univ, Huaian, Jiangsu, Peoples R ChinaZhejiang Univ, Dept Math, Hangzhou 310027, Zhejiang, Peoples R China
Zang, Qing-Pei
Zhang, Li-Xin
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机构:
Zhejiang Univ, Dept Math, Hangzhou 310027, Zhejiang, Peoples R ChinaZhejiang Univ, Dept Math, Hangzhou 310027, Zhejiang, Peoples R China
机构:
Huaiyin Normal Univ, Sch Math Sci, Huaian 223300, Jiangsu, Peoples R ChinaHuaiyin Normal Univ, Sch Math Sci, Huaian 223300, Jiangsu, Peoples R China
Zang, Qingpei
Zhang, Lixin
论文数: 0引用数: 0
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机构:
Zhejiang Univ, Sch Math Sci, Hangzhou 310027, Zhejiang, Peoples R ChinaHuaiyin Normal Univ, Sch Math Sci, Huaian 223300, Jiangsu, Peoples R China