相关论文: Geometric Ergodicity of the multivariate COGARCH(1…
For general, almost surely absorbed Markov processes, we obtain necessary and sufficient conditions for exponential convergence to a unique quasi-stationary distribution in the total variation norm. These conditions also ensure the…
We consider a class of observation-driven Poisson count processes where the current value of the accompanying intensity process depends on previous values of both processes. We show under a contractive condition that the bivariate process…
We study a class of stationary processes indexed by $\Z^d$ that are defined via minors of $d$-dimensional (multilevel) Toeplitz matrices. We obtain necessary and sufficient conditions for phase multiplicity (the existence of a phase…
For a strictly stationary sequence of $\mathbb{R}_{+}^{d}$--valued random vectors we derive functional convergence of partial maxima stochastic processes under joint regular variation and weak dependence conditions. The limit process is an…
In this article we study multivariate continuous-time autoregressive moving-average (MCARMA) processes with values in convex cones. More specifically, we introduce matrix-valued MCARMA processes with L\'evy noise and present necessary and…
In this note, we discuss the uniform ergodicity of a diffusion process given by an It\^o stochastic differential equation. We present an integral condition in terms of the drift and diffusion coefficients that ensures the uniform ergodicity…
We study a simple stochastic differential equation that models the dispersion of close heavy particles moving in a turbulent flow. In one and two dimensions, the model is closely related to the one-dimensional stationary Schroedinger…
We derive mixing properties for a broad class of Poisson count time series satisfying a certain contraction condition. Using specific coupling techniques, we prove absolute regularity at a geometric rate not only for stationary…
Convergence rate analyses of random walk Metropolis-Hastings Markov chains on general state spaces have largely focused on establishing sufficient conditions for geometric ergodicity or on analysis of mixing times. Geometric ergodicity is a…
Conditions for geometric ergodicity of multivariate autoregressive conditional heteroskedasticity (ARCH) processes, with the so-called BEKK (Baba, Engle, Kraft, and Kroner) parametrization, are considered. We show for a class of BEKK-ARCH…
The Lyapounov exponent and sharp conditions for geometric ergodicity are determined of a time series model with both a threshold autoregression term and threshold autoregressive conditional heteroscedastic (ARCH) errors. The conditions…
In this paper, we establish some sufficient conditions for the existence of stable random periodic solutions of stochastic differential equations and ergodicity in the random periodic regime. The techniques involve the existence of Lyapunov…
We consider a random process as a solution of stochastic differential equations with dependence of the coefficients on small parameter $\varepsilon$ and we suppose that the drift coefficients of these equations are unbounded on the…
We show the existance of the stationary distributions of subcritical multitype Galton-Watson processes without any conditions on the mean matrix of the offspring distributions. Some additional properties of the stationary distribution are…
A homogenization problem of infinite dimensional diffusion processes indexed by ${\mathbf Z}^d$ having periodic drift coefficients is considered. By an application of the uniform ergodic theorem for infinite dimensional diffusion processes…
We prove an ergodic theorem for the rotation number of the composition of a sequence os stationary random homeomorphisms in $S^{1}$. In particular, the concept of rotation number of a matrix $g\in Gl^{+}(2,{\R})$ can be generalized to a…
The existence of stationary distributions to distribution dependent stochastic differential equations are investigated by using the ergodicity of the associated decoupled equation and the Schauder fixed point theorem. By using Zvonkin's…
In this paper, we investigate ergodicity in total variation of the process $X_t$, related to a L\'evy-driven stochastic differential equation with unbounded coefficients, and describe the speed of convergence to the respective invariant…
This work develops a rigorous framework for analysing ergodicity and mixing in time-inhomogeneous quantum dynamics. It considers quantum evolutions generated by sequences of quantum channels and examines in detail the relationship between…
The theory of homogeneously driven granular gases of hard particles predicts that the stationary state is characterized by a velocity distribution function with overpopulated high-energy tails as compared to the exponential decay valid for…