ON STABILITY OF DIFFUSIONS WITH COMPOUND-POISSON JUMPS

• Masuda Hiroki

  Graduate School of Mathematics, Kyushu University

Abstract

We give sets of fairly easy conditions under which a multidimensional diffusion with compound-Poisson jumps possesses several global-stability properties: (exponential) ergodicity, (exponential) β-mixing property, and also boundedness of moments. These are important to statistical inference under long-time asymptotics. The proof in this article is based on Masuda (2007), but we here demonstrate an explicit construction of a “T-chain kernel”, which enables us to deal with a broad class of finite-jump parts under smoothness of the coefficients plus pointwise nondegeneracy of the diffusion-coefficient matrix.

Journal

• Bulletin of informatics and cybernetics

  Bulletin of informatics and cybernetics 40 61-74, 2008-12

  Research Association of Statistical Sciences

Keywords

• Boundedness of moments
• diffusion with compound-Poisson jumps
• (exponential) ergodicity
• (exponential) β-mixing property

Details

• CRID: 1390572174802552064
• NII Article ID: 120002795254
• NII Book ID: AA10634475
• DOI: 10.5109/18994
• ISSN: 2435743X
• ISSN: 0286522X
• HANDLE: 2324/18994
• HANDLE: 2324/9475
• Text Lang: en
• Data Source:
  • JaLC
  • IRDB
  • Crossref
  • CiNii Articles
  • KAKEN
• Abstract License Flag: Allowed