Recurrence and transience for jump-diffusion processes

In Suk Wee

    Research output: Contribution to journalArticlepeer-review

    8 Citations (Scopus)

    Abstract

    The purpose of this work is to obtain sufficient conditions for transience and recurrence of multidimensional jump-diffusion processes, which are driven by Brownian motion and Poisson random measure. The approach adopted here is to construct appropriate Lyapounov functions.

    Original languageEnglish
    Pages (from-to)1055-1064
    Number of pages10
    JournalStochastic Analysis and Applications
    Volume18
    Issue number6
    DOIs
    Publication statusPublished - 2000

    ASJC Scopus subject areas

    • Statistics and Probability
    • Statistics, Probability and Uncertainty
    • Applied Mathematics

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