Recurrence and transience for jump-diffusion processes

In Suk Wee

doi:10.1080/07362990008809711

Recurrence and transience for jump-diffusion processes

In Suk Wee

* Honorary professors

Research output: Contribution to journal › Article › peer-review

7 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 language	English
Pages (from-to)	1055-1064
Number of pages	10
Journal	Stochastic Analysis and Applications
Volume	18
Issue number	6
DOIs	https://doi.org/10.1080/07362990008809711
Publication status	Published - 2000

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty
Applied Mathematics

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10.1080/07362990008809711

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Recurrence and transience for jump-diffusion processes

Abstract

ASJC Scopus subject areas

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