Exponential ergodicity of the solutions to SDE's with a jump noise
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Cline, Daren B. H. & Pu, Huay-min H., 1998. "Verifying irreducibility and continuity of a nonlinear time series," Statistics & Probability Letters, Elsevier, vol. 40(2), pages 139-148, September.
- Simon, Thomas, 2000. "Support theorem for jump processes," Stochastic Processes and their Applications, Elsevier, vol. 89(1), pages 1-30, September.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- E. Löcherbach, 2020. "Convergence to Equilibrium for Time-Inhomogeneous Jump Diffusions with State-Dependent Jump Intensity," Journal of Theoretical Probability, Springer, vol. 33(4), pages 2280-2314, December.
- Wang, Jian, 2010. "Regularity of semigroups generated by Lévy type operators via coupling," Stochastic Processes and their Applications, Elsevier, vol. 120(9), pages 1680-1700, August.
- Uehara, Yuma, 2019. "Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models," Stochastic Processes and their Applications, Elsevier, vol. 129(10), pages 4051-4081.
- Kevei, Péter, 2018. "Ergodic properties of generalized Ornstein–Uhlenbeck processes," Stochastic Processes and their Applications, Elsevier, vol. 128(1), pages 156-181.
- Liang, Mingjie & Wang, Jian, 2020. "Gradient estimates and ergodicity for SDEs driven by multiplicative Lévy noises via coupling," Stochastic Processes and their Applications, Elsevier, vol. 130(5), pages 3053-3094.
- Oleksii Kulyk, 2023. "Support Theorem for Lévy-driven Stochastic Differential Equations," Journal of Theoretical Probability, Springer, vol. 36(3), pages 1720-1742, September.
- Palczewski, Jan & Stettner, Łukasz, 2014. "Infinite horizon stopping problems with (nearly) total reward criteria," Stochastic Processes and their Applications, Elsevier, vol. 124(12), pages 3887-3920.
- Majka, Mateusz B., 2017. "Coupling and exponential ergodicity for stochastic differential equations driven by Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 127(12), pages 4083-4125.
- Kulik, Alexey M., 2011. "Asymptotic and spectral properties of exponentially [phi]-ergodic Markov processes," Stochastic Processes and their Applications, Elsevier, vol. 121(5), pages 1044-1075, May.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Masuda, Hiroki, 2007. "Ergodicity and exponential [beta]-mixing bounds for multidimensional diffusions with jumps," Stochastic Processes and their Applications, Elsevier, vol. 117(1), pages 35-56, January.
- Mika Meitz & Pentti Saikkonen, 2008.
"Stability of nonlinear AR‐GARCH models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 29(3), pages 453-475, May.
- MEITZ, Mika & SAIKKONEN, Pentti, 2006. "Stability of nonlinear AR-GARCH models," LIDAM Discussion Papers CORE 2006078, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Mika Meitz & Pentti Saikkonen & University of Helsinki, 2007. "Stability of nonlinear AR-GARCH models," Economics Series Working Papers 328, University of Oxford, Department of Economics.
- Meitz, Mika & Saikkonen, Pentti, 2006. "Stability of nonlinear AR-GARCH models," SSE/EFI Working Paper Series in Economics and Finance 632, Stockholm School of Economics.
- Oleksii Kulyk, 2023. "Support Theorem for Lévy-driven Stochastic Differential Equations," Journal of Theoretical Probability, Springer, vol. 36(3), pages 1720-1742, September.
- Cline, Daren B. H. & Pu, Huay-min H., 1999. "Stability of nonlinear AR(1) time series with delay," Stochastic Processes and their Applications, Elsevier, vol. 82(2), pages 307-333, August.
- Felix Chan & Michael McAleer & Marcelo C. Medeiros, 2015.
"Structure and asymptotic theory for nonlinear models with GARCH erros,"
Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 16(1), pages 1-21.
- Felix Chan & Michael McAleer & Marcelo C. Medeiros, 2010. "Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors," Working Papers in Economics 10/79, University of Canterbury, Department of Economics and Finance.
- Felix Chan & Michael McAleer & Marcelo C. Medeiros, 2010. "Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors," KIER Working Papers 754, Kyoto University, Institute of Economic Research.
- Chan, F. & McAleer, M.J. & Medeiros, M.C., 2011. "Structure and Asymptotic theory for Nonlinear Models with GARCH Errors," Econometric Institute Research Papers EI 2010-79, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Meitz, Mika & Saikkonen, Pentti, 2010.
"A note on the geometric ergodicity of a nonlinear AR-ARCH model,"
Statistics & Probability Letters, Elsevier, vol. 80(7-8), pages 631-638, April.
- Mika Meitz & Pentti Saikkonen, 2010. "A note on the geometric ergodicity of a nonlinear AR–ARCH model," Koç University-TUSIAD Economic Research Forum Working Papers 1003, Koc University-TUSIAD Economic Research Forum.
- Saidi, Youssef & Zakoian, Jean-Michel, 2006. "Stationarity and geometric ergodicity of a class of nonlinear ARCH models," MPRA Paper 61988, University Library of Munich, Germany, revised 2006.
- D. O. Ivanenko & A. M. Kulik, 2015. "Malliavin Calculus Approach to Statistical Inference for Lévy Driven SDE’s," Methodology and Computing in Applied Probability, Springer, vol. 17(1), pages 107-123, March.
- Bo Pieter Johannes Andree & Francisco Blasques & Eric Koomen, 2017. "Smooth Transition Spatial Autoregressive Models," Tinbergen Institute Discussion Papers 17-050/III, Tinbergen Institute.
- Qiao, Huijie & Wu, Jiang-Lun, 2021. "Supports for degenerate stochastic differential equations with jumps and applications," Statistics & Probability Letters, Elsevier, vol. 177(C).
- Mika Meitz & Pentti Saikkonen, 2022. "Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity," Papers 2205.11953, arXiv.org, revised Apr 2023.
- Cline, Daren B. H. & Pu, Huay-min H., 2002. "A note on a simple Markov bilinear stochastic process," Statistics & Probability Letters, Elsevier, vol. 56(3), pages 283-288, February.
- Cline, Daren B.H., 2007. "Regular variation of order 1 nonlinear AR-ARCH models," Stochastic Processes and their Applications, Elsevier, vol. 117(7), pages 840-861, July.
- Meitz, Mika & Saikkonen, Pentti, 2022.
"Subgeometrically Ergodic Autoregressions,"
Econometric Theory, Cambridge University Press, vol. 38(5), pages 959-985, October.
- Mika Meitz & Pentti Saikkonen, 2019. "Subgeometrically ergodic autoregressions," Papers 1904.07089, arXiv.org, revised Mar 2020.
- Fonseca Giovanni, 2004. "On the Stationarity of First-order Nonlinear Time Series Models: Some Developments," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-9, May.
- Hafner, Christian M. & Preminger, Arie, 2009. "On asymptotic theory for multivariate GARCH models," Journal of Multivariate Analysis, Elsevier, vol. 100(9), pages 2044-2054, October.
- Saikkonen, Pentti, 2005. "Stability results for nonlinear error correction models," Journal of Econometrics, Elsevier, vol. 127(1), pages 69-81, July.
- Tweedie, R. L., 2001. "Drift conditions and invariant measures for Markov chains," Stochastic Processes and their Applications, Elsevier, vol. 92(2), pages 345-354, April.
More about this item
Keywords
[beta]-mixing coefficient Local Doeblin condition Admissible time-stretching transformations Stratification method Convergence in variation of induced measures;Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:119:y:2009:i:2:p:602-632. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.