Invariant measures related with Poisson driven stochastic differential equation
A Poisson driven stochastic differential equation generates a semigroup of operators (Pt)t[greater-or-equal, slanted]0 describing the evolution of measures along trajectories and a Markov operator P corresponding to the change of measures from a jump to jump. We show that the semigroup (Pt)t[greater-or-equal, slanted]0 has a finite invariant measure if and only if the operator P has the same property. The main result is applied to problems related with the existence and the dimension of invariant measures.
Year of publication: |
2003
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Authors: | Lasota, Andrzej ; Traple, Janusz |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 106.2003, 1, p. 81-93
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Publisher: |
Elsevier |
Keywords: | Stochastic differential equation Invariant measure Markov operator Semigroup of linear operators Hausdorff dimension |
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