Title of article
Further applications of a general rate conservation law
Author/Authors
Bardhan، نويسنده , , Indrajit، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1995
Pages
18
From page
113
To page
130
Abstract
Some further applications of a General Rate Conservation Law (GRCL) for stationary semimartingales are presented. GRCL is used to characterize the distribution of the reflection of Levy processes with arbitrary jumps. The stationary distribution of a general jump-diffusion with a reflecting boundary is derived and an interesting stochastic decomposition result is obtained. A multidimensional version of GRCL is used to examine the stationary behaviour of a multidimensional reflected Levy process. The relationship between GRCL and pathwise rate conservation is reviewed.
Keywords
State-dependent jump-diffusions , Sample-path , Levy processes , Semimartingales , Rate conservation , Stationary ergodic processes
Journal title
Stochastic Processes and their Applications
Serial Year
1995
Journal title
Stochastic Processes and their Applications
Record number
1575797
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