Stability conditions for a Piecewise Deterministic Markov Process

In the present paper we study the stability of a threshold continuos-time model that belongs to the class of Piecewise Deterministic Markov Processes. We derive a sufficient condition on the coefficients of the model to ensure the exponential ergodicity of the process under two different assumptions on the jumps.

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Year of publication:	2005-05
Authors:	Giovanni, Fonseca
Institutions:	Facoltà di Economia, Università degli Studi dell'Insubria
Subject:	Threshold process \| Compound Poisson Process \| Stationary process \| Ergodicity

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Extent:	application/pdf
Series:	Economics and Quantitative Methods.
Type of publication:	Book / Working Paper
Language:	English
Notes:	29 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005827377