Moment bounds for dissipative semimartingales with heavy jumps
Author
Abstract
Suggested Citation
DOI: 10.1016/j.spa.2021.07.004
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
- Samorodnitsky, G. & Grigoriu, M., 2003. "Tails of solutions of certain nonlinear stochastic differential equations driven by heavy tailed Lévy motions," Stochastic Processes and their Applications, Elsevier, vol. 105(1), pages 69-97, May.
- Veretennikov, A. Yu., 1997. "On polynomial mixing bounds for stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 70(1), pages 115-127, October.
- Arturo Kohatsu & Makoto Yamazato, 2003. "On moments and tail behaviors of storage processes," Economics Working Papers 673, Department of Economics and Business, Universitat Pompeu Fabra.
- Douc, Randal & Fort, Gersende & Guillin, Arnaud, 2009. "Subgeometric rates of convergence of f-ergodic strong Markov processes," Stochastic Processes and their Applications, Elsevier, vol. 119(3), pages 897-923, March.
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.- Dai Pra, P. & Pigato, P., 2015. "Multi-scaling of moments in stochastic volatility models," Stochastic Processes and their Applications, Elsevier, vol. 125(10), pages 3725-3747.
- Anatolii A. Puhalskii, 2003. "On Large Deviation Convergence of Invariant Measures," Journal of Theoretical Probability, Springer, vol. 16(3), pages 689-724, July.
- Yuji Sakamoto & Nakahiro Yoshida, 2009. "Third-order asymptotic expansion of M-estimators for diffusion processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(3), pages 629-661, September.
- Guillin, A. & Liptser, R., 2005. "MDP for integral functionals of fast and slow processes with averaging," Stochastic Processes and their Applications, Elsevier, vol. 115(7), pages 1187-1207, July.
- Cayé, Thomas & Herdegen, Martin & Muhle-Karbe, Johannes, 2020. "Scaling limits of processes with fast nonlinear mean reversion," Stochastic Processes and their Applications, Elsevier, vol. 130(4), pages 1994-2031.
- Anatolii A. Puhalskii & Michael Jay Stutzer, 2016. "On minimising a portfolio's shortfall probability," Papers 1602.02192, arXiv.org, revised May 2017.
- Alexander Veretennikov, 2023. "Polynomial Recurrence for SDEs with a Gradient-Type Drift, Revisited," Mathematics, MDPI, vol. 11(14), pages 1-16, July.
- Bal'azs Gerencs'er & Mikl'os R'asonyi, 2020. "Invariant measures for multidimensional fractional stochastic volatility models," Papers 2002.04832, arXiv.org, revised Aug 2021.
- Jakubowski, Tomasz, 2007. "The estimates of the mean first exit time from a ball for the [alpha]-stable Ornstein-Uhlenbeck processes," Stochastic Processes and their Applications, Elsevier, vol. 117(10), pages 1540-1560, October.
- Masayuki Uchida & Nakahiro Yoshida, 2001. "Information Criteria in Model Selection for Mixing Processes," Statistical Inference for Stochastic Processes, Springer, vol. 4(1), pages 73-98, January.
- Kanaya, Shin, 2017.
"Convergence Rates Of Sums Of Α-Mixing Triangular Arrays: With An Application To Nonparametric Drift Function Estimation Of Continuous-Time Processes,"
Econometric Theory, Cambridge University Press, vol. 33(5), pages 1121-1153, October.
- Kanaya, Shin, 2016. "Convergence rates of sums of α-mixing triangular arrays : with an application to non-parametric drift function estimation of continuous-time processes," Discussion Paper Series 646, Institute of Economic Research, Hitotsubashi University.
- Shin Kanaya, 2016. "Convergence rates of sums of a-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes," CREATES Research Papers 2016-24, Department of Economics and Business Economics, Aarhus University.
- Ditlevsen, Susanne & Löcherbach, Eva, 2017. "Multi-class oscillating systems of interacting neurons," Stochastic Processes and their Applications, Elsevier, vol. 127(6), pages 1840-1869.
- Chen, Xiaohong & Hansen, Lars Peter & Carrasco, Marine, 2010.
"Nonlinearity and temporal dependence,"
Journal of Econometrics, Elsevier, vol. 155(2), pages 155-169, April.
- Xiaohong Chen & Lars P. Hansen & Marine Carrasco, 2008. "Nonlinearity and Temporal Dependence," Cowles Foundation Discussion Papers 1652, Cowles Foundation for Research in Economics, Yale University.
- Xiaohong Chen & Lars P. Hansen & Marine Carrasco, 2009. "Nonlinearity and Temporal Dependence," Cowles Foundation Discussion Papers 1652R, Cowles Foundation for Research in Economics, Yale University.
- Xiaohong Chen & Lars P. Hansen & Marine Carrasco, 2009. "Nonlinearity and Temporal Dependence," CIRANO Working Papers 2009s-17, CIRANO.
- Chen, Xiaohong & Hansen, Lars Peter & Carrasco, Marine, 2008. "Nonlinearity and Temporal Dependence," Working Papers 48, Yale University, Department of Economics.
- Guodong Pang & Andrey Sarantsev & Yana Belopolskaya & Yuri Suhov, 2020. "Stationary distributions and convergence for M/M/1 queues in interactive random environment," Queueing Systems: Theory and Applications, Springer, vol. 94(3), pages 357-392, April.
- Lukas Gonon & Johannes Muhle‐Karbe & Xiaofei Shi, 2021. "Asset pricing with general transaction costs: Theory and numerics," Mathematical Finance, Wiley Blackwell, vol. 31(2), pages 595-648, April.
- Campillo, Fabien & Kleptsyna, Marina & Piatnitski, Andrey, 2001. "Homogenization of random parabolic operator with large potential," Stochastic Processes and their Applications, Elsevier, vol. 93(1), pages 57-85, May.
- Lukas Gonon & Johannes Muhle-Karbe & Xiaofei Shi, 2019. "Asset Pricing with General Transaction Costs: Theory and Numerics," Papers 1905.05027, arXiv.org, revised Apr 2020.
- Shoichi Eguchi & Hiroki Masuda, 2019. "Data driven time scale in Gaussian quasi-likelihood inference," Statistical Inference for Stochastic Processes, Springer, vol. 22(3), pages 383-430, October.
- Guo, Xianping & Liao, Zhong-Wei, 2021. "Estimate the exponential convergence rate of f-ergodicity via spectral gap," Statistics & Probability Letters, Elsevier, vol. 168(C).
- Song, Yan-Hong, 2016. "Algebraic ergodicity for SDEs driven by Lévy processes," Statistics & Probability Letters, Elsevier, vol. 119(C), pages 108-115.
More about this item
Keywords
Long-time moment bounds; Lyapunov function; Cesàro mean; Heavy tails; Dissipative system; Passage times;All these keywords.
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:141:y:2021:i:c:p:274-308. 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.