相关论文: Geometric Ergodicity of the multivariate COGARCH(1…
This work focuses on a class of stochastic Hamiltonian type jump diffusion systems with state-dependent switching, in which the switching component has countably infinite many states. First,the existence and uniqueness of the underlying…
It is known that, in general, an affine or Gabor AP-frame is an $L^2(\mathbb{R})$-frame and conversely. In part as a consequence of the Ergodic Theorem, we prove a necessary and sufficient condition for an affine (wavelet) system…
Given the importance of continuous-time stochastic volatility models to describe the dynamics of interest rates, we propose a goodness-of-fit test for the parametric form of the drift and diffusion functions, based on a marked empirical…
The goal of this paper is to develop a general method to establish conditional ergodicity of infinite-dimensional Markov chains. Given a Markov chain in a product space, we aim to understand the ergodic properties of its conditional…
We present an approach for testing for the existence of continuous generators of discrete stochastic transition matrices. Typically, the known approaches to ascertain the existence of continuous Markov processes are based in the assumption…
Many economic models feature monotone Markov dynamics on state spaces that may be noncompact. Establishing existence, uniqueness, and stability of stationary distributions in such settings has required a patchwork of sufficient conditions,…
Recent molecular dynamics simulations show that a dilute relativistic gas equilibrates to a Juettner velocity distribution if ensemble velocities are measured simultaneously in the observer frame. The analysis of relativistic Brownian…
Nature is intrinsically heterogeneous, and remarkable phenomena can only be observed in the presence of intrinsically nonlinear heterogeneities. Spontaneous pattern formation in nature has fascinated humankind for centuries, and the…
We consider a stochastic electroconvection model describing the nonlinear evolution of a surface charge density in a two-dimensional fluid with additive stochastic forcing. We prove the existence and uniqueness of solutions, we define the…
Necessary and sufficient conditions for a Markov chain to be ergodic are that the chain is irreducible and aperiodic. This result is manifest in the case of random walks on finite groups by a statement about the support of the driving…
This paper describes a discrete-time model of regularly-issued sovereign debt dynamics under a deficit-driven nominal debt growth regime that explicitly accounts for granular maturity. New issuance follows fixed allocations across a finite…
We consider a chain of three rotors (rotators) whose ends are coupled to stochastic heat baths. The temperatures of the two baths can be different, and we allow some constant torque to be applied at each end of the chain. Under some…
This paper investigates the ergodicity of stochastic functional differential equations with jumps under the Wasserstein distance by the generalized coupling method. Two key conditions are verified. The first is verified by establishing an…
In this paper, we establish the existence of transition density for geometric $\alpha$-stable processes by using the property of self-decomposability--a fundamental concept in the theory of L\'evy processes. In contrast to traditional and…
The transport coefficients of a granular fluid driven by a stochastic bath with friction are obtained by solving the inelastic Enskog kinetic equation from the Chapman-Enskog method. The heat and momentum fluxes as well as the cooling rate…
We present a new drift condition which implies rates of convergence to the stationary distribution of the iterates of a \psi-irreducible aperiodic and positive recurrent transition kernel. This condition, extending a condition introduced by…
We analyze a system of stochastic differential equations describing the joint motion of a massive (inert) particle in a viscous fluid in the presence of a gravitational field and a Brownian particle impinging on it from below, which…
Given a functional for a one-dimensional physical system, a classical problem is to minimize it by finding stationary solutions and then checking the positive definiteness of the second variation. Establishing the positive definiteness is,…
We study the Volterra Volterra Cox-Ingersoll-Ross process on $\mathbb{R}_+$ and its stationary version. Based on a fine asymptotic analysis of the corresponding Volterra Riccati equation combined with the affine transformation formula, we…
We show that alpha stable L\'evy motions can be simulated by any ergodic and aperiodic probability preserving transformation. Namely we show: - for $0<\alpha<1$ and every $\alpha$ stable L\'evy motion $\mathbb{W}$, there exists a function f…