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1.
We consider Markov processes built from pasting together pieces of strong Markov processes which are killed at a position
dependent rate and connected via a transition kernel. We give necessary and sufficient conditions for local absolute continuity
of probability laws for such processes on a suitable path space and derive an explicit formula for the corresponding likelihood
ratio process. The main tool is the consideration of the process between successive jumps – what we call ‘elementary experiments’
– and criteria for absolute continuity of laws of the process there. We apply our results to systems of branching diffusions
with interactions and immigrations.
This revised version was published online in June 2006 with corrections to the Cover Date. 相似文献
2.
Li-ming Wu~ Zheng-liang Zhang~ Laboratoire de Mathématiques Appliquées.CNRS-UMR Université Blaise Pascal Aubière France 《应用数学学报(英文版)》2004,(3)
Using the method of Girsanov transformation,we establish the Talagrand's T_2-inequality for dif-fusion on the path space C([0,N],R~d) with respect to a uniform metric,with the constant independent of N.This improves the known results for the L~2-metric. 相似文献
3.
Framstad N. C. Øksendal B. Sulem A. 《Journal of Optimization Theory and Applications》2004,121(1):77-98
We give a verification theorem by employing Arrow's generalization of the Mangasarian sufficient condition to a general jump diffusion setting and show the connections of adjoint processes to dynamic programming. The result is applied to financial optimization problems. 相似文献
4.
We make some remarks about deriving the large deviations estimates for the Ventsel-Freidlin perturbed system and adapt these methods to derive similar results for singular perturbations of degenerate one-dimensional diffusions where β and ω are independent Brownian motions. This corresponds to a singular perturbation of the degenerate second-order operator 相似文献
5.
We provide criteria for the strong ergodicity of regime-switching diffusion processes. Our conditions are imposed on the coefficients of the processes. Particularly, we show that for regime-switching diffusions on the half line, if the corresponding diffusion on each fixed environment is strongly ergodic, then the regime-switching diffusion is strongly ergodic as well, which does not depend on the changing rate of the environment. Moreover, the converse is not always true, which is shown by an example. For transience, recurrence and positive recurrence, there is no such good consistency [R. Pinsky and M. Scheutzow, Some remarks and examples concerning the transience and recurrence of random diffusions, Ann. Inst. Henri. Poincaré 28 (1992) 519–536]. 相似文献
6.
Émeline Schmisser 《Stochastic Processes and their Applications》2019,129(12):5364-5405
In this article, we consider a jump diffusion process , with drift function , diffusion coefficient and jump coefficient . This process is observed at discrete times . The sampling interval tends to 0 and the time interval tends to infinity. We assume that is ergodic, strictly stationary and exponentially -mixing. We use a penalized least-square approach to compute adaptive estimators of the functions and . We provide bounds for the risks of the two estimators. 相似文献
7.
8.
Li-mingWu Zheng-liangZhang 《应用数学学报(英文版)》2004,20(3):357-364
Using the method of Girsanov transformation, we establish the Talagrand‘s T2-inequality for diffusion on the path space C([0, N], R^d) with respect to a uniform metric, with the constant independent of N. This improves the known results for the L2-metric. 相似文献
9.
J. Fritz 《Journal of statistical physics》1986,44(1-2):25-47
We consider certain small stochastic perturbations of ad-dimensional infinite system of coupled anharmonic oscillators. The evolution law is reversible in the Yaglom sense, thus Gibbs states with the given interaction and temperature are stationary measures. If d<3 then some stability properties of the interaction imply the converse statement; if d>2 then the same is proven for translation invariant measures only. The methods and results of Ref. 4, 6–8 are extended to second-order systems of stochastic differential equations. 相似文献
10.
We investigate the uniform convergence of the density of the empirical measure of an ergodic diffusion. It is known that under
certain conditions on the drift and diffusion coefficients of the diffusion, the empirical density f
t converges in probability to the invariant density f, uniformly on the entire real line. We show that under the same conditions, uniform convergence of f
t to f on compact intervals takes place almost surely. Moreover, we prove that under much milder conditions (the usual linear growth
condition on the drift and diffusion coefficients and a finite second moment of the invariant measure suffice), we have the
uniform convergence of f
t to f on compacta in probability.
This revised version was published online in June 2006 with corrections to the Cover Date. 相似文献