Tail of a linear diffusion with Markov switching
| hal.structure.identifier | Institut de Recherche Mathématique de Rennes [IRMAR] | |
| hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| hal.structure.identifier | Groupe de Recherche en Economie Théorique et Appliquée [GREThA] | |
| dc.contributor.author | DE SAPORTA, Benoîte | |
| hal.structure.identifier | Institut de Recherche Mathématique de Rennes [IRMAR] | |
| hal.structure.identifier | Vision spatio-temporelle et active [VISTA] | |
| dc.contributor.author | YAO, Jian-Feng | |
| dc.date.accessioned | 2024-04-04T03:19:03Z | |
| dc.date.available | 2024-04-04T03:19:03Z | |
| dc.date.created | 2005 | |
| dc.date.issued | 2005 | |
| dc.identifier.issn | 1050-5164 | |
| dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/194468 | |
| dc.description.abstractEn | Let 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.iso | en | |
| dc.publisher | Institute of Mathematical Statistics (IMS) | |
| dc.subject.en | Ornstein-Uhlenbeck diffusion | |
| dc.subject.en | Markov switching | |
| dc.subject.en | random difference equation | |
| dc.subject.en | light tail | |
| dc.subject.en | heavy tail | |
| dc.subject.en | renewal theory | |
| dc.subject.en | Perron-Frobenius theory | |
| dc.subject.en | ladder heights | |
| dc.title.en | Tail of a linear diffusion with Markov switching | |
| dc.type | Article de revue | |
| dc.identifier.doi | 10.1214/105051604000000828 | |
| dc.subject.hal | Physique [physics]/Matière Condensée [cond-mat]/Matière Molle [cond-mat.soft] | |
| dc.identifier.arxiv | math.PR/0503527 | |
| bordeaux.journal | The Annals of Applied Probability | |
| bordeaux.page | 922-1018 | |
| bordeaux.volume | 15 | |
| bordeaux.hal.laboratories | Institut de Mathématiques de Bordeaux (IMB) - UMR 5251 | * |
| bordeaux.institution | Université de Bordeaux | |
| bordeaux.institution | Bordeaux INP | |
| bordeaux.institution | CNRS | |
| bordeaux.peerReviewed | oui | |
| hal.identifier | hal-00111278 | |
| hal.version | 1 | |
| hal.popular | non | |
| hal.audience | Internationale | |
| hal.origin.link | https://hal.archives-ouvertes.fr//hal-00111278v1 | |
| bordeaux.COinS | ctx_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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