文章基本信息

标题：Explicit Rates of Exponential Convergence for Reflected Jump-Diffusions on the Half-Line
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作者：Andrey Sarantsev
期刊名称：Latin American Journal of Probability and Mathematical Statistics
电子版ISSN：1980-0436
出版年度：2016
卷号：XIII
期号：2
页码：1069-1093
出版社：Instituto Nacional De Matemática Pura E Aplicada
摘要：Consider a reflected jump-diffusion on the positive half-line. Assumeit is stochastically ordered. We apply the theory of Lyapunov functions and findexplicit estimates for the rate of exponential convergence to the stationary distribution,as time goes to infinity. This continues the work of Lund et al. (1996). Weapply these results to systems of two competing L´evy particles with rank-dependentdynamics.
关键词：Lyapunov function; stochastically ordered process; stochastic domi-;nation; reflected diffusion; reflected jump-diffusion; uniform ergodicity; exponential rate of con-;vergence; competing L´evy particles; L´evy process; gap process; jump measure; reflected L´evy;process.