Ergodic aspects of some Ornstein–Uhlenbeck type processes related to Lévy processes
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DOI: 10.1016/j.spa.2018.05.007
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References listed on IDEAS
- Haas, Bénédicte & Rivero, Víctor, 2012. "Quasi-stationary distributions and Yaglom limits of self-similar Markov processes," Stochastic Processes and their Applications, Elsevier, vol. 122(12), pages 4054-4095.
- Kevei, Péter, 2018. "Ergodic properties of generalized Ornstein–Uhlenbeck processes," Stochastic Processes and their Applications, Elsevier, vol. 128(1), pages 156-181.
- Maulik, Krishanu & Zwart, Bert, 2006. "Tail asymptotics for exponential functionals of Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 116(2), pages 156-177, February.
- Lindner, Alexander & Maller, Ross, 2005. "Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes," Stochastic Processes and their Applications, Elsevier, vol. 115(10), pages 1701-1722, October.
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Keywords
Ornstein–Uhlenbeck type process; Stationarity; Self-similar Markov process; Lévy process; Exponential functional; Darling–Kac theorem;All these keywords.
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