Domain of attraction of the quasi-stationary distributions for the Ornstein-Uhlenbeck process Journal Article uri icon

Overview

abstract

  • Let (Xt) be a one-dimensional Ornstein-Uhlenbeck process with initial density functionf: ℝ+→ ℝ+, which is a regularly varying function with exponent -(1 + η), η ∊ (0,1). We prove the existence of a probability measure ν with a Lebesgue density, depending on η, such that for everyA∊B(R+):

publication date

  • June 1, 2000

has restriction

  • closed

Date in CU Experts

  • July 24, 2024 5:13 AM

Full Author List

  • Lladser M; San Martín J

author count

  • 2

Other Profiles

International Standard Serial Number (ISSN)

  • 0021-9002

Electronic International Standard Serial Number (EISSN)

  • 1475-6072

Additional Document Info

start page

  • 511

end page

  • 520

volume

  • 37

issue

  • 2