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Long-time behavior of stable-like processes
Sandrić, Nikola - In: Stochastic Processes and their Applications 123 (2013) 4, pp. 1276-1300
conditions for recurrence, transience and ergodicity of stable-like processes in terms of the stability function α(x), the drift … function β(x) and the scaling function γ(x). Further, as a special case of these results we give a new proof for the recurrence …
Persistent link: https://www.econbiz.de/10011065126
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Hitting times for the perturbed reflecting random walk
Serlet, Laurent - In: Stochastic Processes and their Applications 123 (2013) 1, pp. 110-130
We consider a nearest neighbor random walk on Z which is reflecting at 0 and perturbed when it reaches its maximum. We compute the law of the hitting times and derive many corollaries, especially invariance principles with (rather) explicit descriptions of the asymptotic laws. We also obtain...
Persistent link: https://www.econbiz.de/10010591888