Search Results - subject:"invariant probability"

The transition from ergodic to explosive behavior in a family of stochastic differential equations

Birrell, Jeremiah; Herzog, David P.; Wehr, Jan - In: Stochastic Processes and their Applications 122 (2012) 4, pp. 1519-1539

We study a family of quadratic, possibly degenerate, stochastic differential equations in the plane, motivated by applications to turbulent transport of heavy particles. Using Lyapunov functions, Hörmander’s hypoellipticity theorem, and geometric control theory, we find a critical parameter...

Persistent link: https://www.econbiz.de/10011065081

Consistency Properties of a Simulation-Base Estimator for Dynamic Processes

Santos, Manuel S. - Department of Economics, School of Business - 2007

This paper considers a simulation-based estimator for a general class of Markovian processes and explores some strong consistency properties of the estimator. These results are of interest for various kinds of simulation-based estimation methods typically used in economics and finance. The...

Persistent link: https://www.econbiz.de/10005748136

Consistency Properties of a Simulation-Based Estimator for Dynamic Processes

Santos, Manuel - Department of Economics, School of Business - 2007

Persistent link: https://www.econbiz.de/10005748153

Random continued fractions: a Markov chain approach

Goswami, Alok - In: Economic Theory 23 (2003) 1, pp. 85-105

connection comes from the fact that the distribution of random continued fraction is obtained as an invariant probability of the … fast in the Kolmogorov distance to an unique invariant probability <InlineEquation ID="Equ2"> <EquationSource Format …="TEX">$\pi$</EquationSource> </InlineEquation>, which is shown to be non-atomic, except in the degenerate case. A sufficient condition is given for the invariant …

Persistent link: https://www.econbiz.de/10005596744