On lower bounds for mixing coefficients of Markov diffusions

被引：13
|
作者：
Veretennikov, AY [1 ]
机构：
[1] Univ Leeds, Sch Math, Leeds LS2 9JT, W Yorkshire, England
来源：
FROM STOCHASTIC CALCULUS TO MATHEMATICAL FINANCE: THE SHIRYAEV FESTSCHRIFT | 2006年
关键词：
diffusions; mixing coefficients; invariant distributions;
D O I：
10.1007/978-3-540-30788-4_31
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We establish, for a class of ergodic diffusion processes, lower bounds for the a-mixing coefficient. These lower bounds indicate properties which are related to "long memory" and "heavy tails" widely discussed in the literature.
引用
收藏
页码：623 / 633
页数：11
相关论文
共 13 条
12