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Excessive measures for linear diffusions

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  • Shen, Yuncong
  • Ying, Jiangang

Abstract

Excessive measures play an important role in the study of Markov processes. However, there are few works about the existence of excessive measures. In this paper, we give a necessary and sufficient condition for a linear diffusion to possess a fully supported excessive measure.

Suggested Citation

  • Shen, Yuncong & Ying, Jiangang, 2018. "Excessive measures for linear diffusions," Statistics & Probability Letters, Elsevier, vol. 135(C), pages 132-139.
    • Handle: RePEc:eee:stapro:v:135:y:2018:i:c:p:132-139
    DOI: 10.1016/j.spl.2017.11.010
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    Cited by:

    1. He, Ping & Shen, Yuncong & Sun, Wenjie, 2022. "One-dimensional diffusion and stochastic differential equation," Statistics & Probability Letters, Elsevier, vol. 183(C).

    More about this item

    Keywords

    Excessive measures; Linear diffusions;

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