Ergodic properties of generalized Ornstein--Uhlenbeck processes
Probability
2016-06-06 v1
Abstract
We investigate ergodic properties of generalized Ornstein--Uhlenbeck processes. In particular, we provide sufficient conditions for ergodicity, and for subexponential and exponential convergence to the invariant probability measure. We use the Foster--Lyapunov method. The drift conditions are obtained using the explicit form of the generator of the continuous process. In some special cases the optimality of our results can be shown.
Cite
@article{arxiv.1606.01232,
title = {Ergodic properties of generalized Ornstein--Uhlenbeck processes},
author = {Peter Kevei},
journal= {arXiv preprint arXiv:1606.01232},
year = {2016}
}