A criterion for invariant measures of Itô processes based on the symbol

Dokumenttyp:: Zeitschriftenaufsatz
Autor(en):: Behme, A., and Schnurr, A.
Titel:: A criterion for invariant measures of Itô processes based on the symbol
Abstract:: An integral criterion for the existence of an invariant measure of an Itô process is developed. This new criterion is based on the probabilistic symbol of the Itô process. In contrast to the standard integral criterion for invariant measures of Markov processes based on the generator, no test functions and hence no information on the domain of the generator is needed.
Stichworte:: Feller process, Invariant measure, Itô process, Lévy-type process, Stationarity, Stochastic differential equation, Symbol
Dewey Dezimalklassifikation:: 510 Mathematik
Zeitschriftentitel:: Bernoulli
Jahr:: 2015
Band / Volume:: 21
Heft / Issue:: 3
Seitenangaben Beitrag:: 1697-1718
Sprache:: en
Volltext / DOI:: doi:10.3150/14-BEJ618
WWW:: Bernoulli
Verlag / Institution:: Bernoulli Society
Print-ISSN:: 1360–6727
Status:: Verlagsversion / published
Semester:: SS 15
TUM Einrichtung:: Lehrstuhl für Mathematische Statistik
Format:: Text
BibTeX

Vorkommen: