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

Title:: A criterion for invariant measures of Itô processes based on the symbol
Document type:: Zeitschriftenaufsatz
Author(s):: Behme, A., and Schnurr, A.
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.
Keywords:: Feller process, Invariant measure, Itô process, Lévy-type process, Stationarity, Stochastic differential equation, Symbol
Dewey Decimal Classification:: 510 Mathematik
Journal title:: Bernoulli
Year:: 2015
Journal volume:: 21
Journal issue:: 3
Pages contribution:: 1697-1718
Language:: en
Fulltext / DOI:: doi:10.3150/14-BEJ618
WWW:: Bernoulli
Publisher:: Bernoulli Society
Print-ISSN:: 1360–6727
Status:: Verlagsversion / published
Semester:: SS 15
TUM Institution:: Lehrstuhl für Mathematische Statistik
Format:: Text
BibTeX

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