Ergodic behavior of diffusions with random jumps from the boundary

We consider a diffusion process on , which upon hitting [not partial differential]D, is redistributed in D according to a probability measure depending continuously on its exit point. We prove that the distribution of the process converges exponentially fast to its unique invariant distribution and characterize the exponent as the spectral gap for a differential operator that serves as the generator of the process on a suitable function space.

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Year of publication:	2009
Authors:	Ben-Ari, Iddo ; Pinsky, Ross G.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 119.2009, 3, p. 864-881
Publisher:	Elsevier
Keywords:	Diffusion processes Spectral gap Rate of convergence Invariant measure Ergodic

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874057