IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v47y1993i1p119-130.html
   My bibliography  Save this article

On pathwise rate conservation for a class of semi-martingales

Author

Listed:
  • Mazumdar, Ravi
  • Badrinath, Vivek
  • Guillemin, Fabrice
  • Rosenberg, Catherine

Abstract

In this paper, we generalize an earlier result on pathwise rate conservation for càdlàg processes to include a diffusion component. This leads to the occurence of an additional term corresponding to the local time of the process when considering the level crossing formula. This extension serves to show that rate conservation is a pathwise property of a càdlàg process subject to it satisfying an o(t) growth condition almost surely. When specialized to the stationary case, we obtain a characterization of the invariant distribution of semi-martingales. We then illustrate the application of the conservation law to obtain the invariant distribution of a reflected Ornstein-Uhlenbeck process.

Suggested Citation

  • Mazumdar, Ravi & Badrinath, Vivek & Guillemin, Fabrice & Rosenberg, Catherine, 1993. "On pathwise rate conservation for a class of semi-martingales," Stochastic Processes and their Applications, Elsevier, vol. 47(1), pages 119-130, August.
    • Handle: RePEc:eee:spapps:v:47:y:1993:i:1:p:119-130
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0304-4149(93)90098-O
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Fabrice Guillemin & Ravi Mazumdar, 2004. "Rate Conservation Laws for Multidimensional Processes of Bounded Variation with Applications to Priority Queueing Systems," Methodology and Computing in Applied Probability, Springer, vol. 6(2), pages 135-159, June.
    2. Bardhan, Indrajit, 1995. "Further applications of a general rate conservation law," Stochastic Processes and their Applications, Elsevier, vol. 60(1), pages 113-130, November.

    Corrections

    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:47:y:1993:i:1:p:119-130. 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.

    We have no bibliographic references for this item. You can help adding them by using 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.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.