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hal.structure.identifierInstitut de Recherche Mathématique de Rennes [IRMAR]
hal.structure.identifierQuality control and dynamic reliability [CQFD]
hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
hal.structure.identifierGroupe de Recherche en Economie Théorique et Appliquée [GREThA]
dc.contributor.authorDE SAPORTA, Benoîte
hal.structure.identifierInstitut de Recherche Mathématique de Rennes [IRMAR]
hal.structure.identifierVision spatio-temporelle et active [VISTA]
dc.contributor.authorYAO, Jian-Feng
dc.date.accessioned2024-04-04T03:19:03Z
dc.date.available2024-04-04T03:19:03Z
dc.date.created2005
dc.date.issued2005
dc.identifier.issn1050-5164
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/194468
dc.description.abstractEnLet Y be an Ornstein-Uhlenbeck diffusion governed by a stationary and ergodic Markov jump process X: dY_t=a(X_t)Y_t dt+\sigma(X_t) dW_t, Y_0=y_0. Ergodicity conditions for Y have been obtained. Here we investigate the tail propriety of the stationary distribution of this model. A characterization of either heavy or light tail case is established. The method is based on a renewal theorem for systems of equations with distributions on R.
dc.language.isoen
dc.publisherInstitute of Mathematical Statistics (IMS)
dc.subject.enOrnstein-Uhlenbeck diffusion
dc.subject.enMarkov switching
dc.subject.enrandom difference equation
dc.subject.enlight tail
dc.subject.enheavy tail
dc.subject.enrenewal theory
dc.subject.enPerron-Frobenius theory
dc.subject.enladder heights
dc.title.enTail of a linear diffusion with Markov switching
dc.typeArticle de revue
dc.identifier.doi10.1214/105051604000000828
dc.subject.halPhysique [physics]/Matière Condensée [cond-mat]/Matière Molle [cond-mat.soft]
dc.identifier.arxivmath.PR/0503527
bordeaux.journalThe Annals of Applied Probability
bordeaux.page922-1018
bordeaux.volume15
bordeaux.hal.laboratoriesInstitut de Mathématiques de Bordeaux (IMB) - UMR 5251*
bordeaux.institutionUniversité de Bordeaux
bordeaux.institutionBordeaux INP
bordeaux.institutionCNRS
bordeaux.peerReviewedoui
hal.identifierhal-00111278
hal.version1
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-00111278v1
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=The%20Annals%20of%20Applied%20Probability&rft.date=2005&rft.volume=15&rft.spage=922-1018&rft.epage=922-1018&rft.eissn=1050-5164&rft.issn=1050-5164&rft.au=DE%20SAPORTA,%20Beno%C3%AEte&YAO,%20Jian-Feng&rft.genre=article


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