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Laplace symbols and invariant distributions

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  • Behme, Anita
  • Schnurr, Alexander

Abstract

We introduce a new kind of symbol in the framework of Itô processes which are bounded on one side. The connection between this symbol and the infinitesimal generator is analyzed. Based on this concept, an integral criterion for invariant distributions of the underlying process is derived. Some applications are mentioned.

Suggested Citation

  • Behme, Anita & Schnurr, Alexander, 2018. "Laplace symbols and invariant distributions," Statistics & Probability Letters, Elsevier, vol. 137(C), pages 217-223.
    • Handle: RePEc:eee:stapro:v:137:y:2018:i:c:p:217-223
    DOI: 10.1016/j.spl.2018.01.023
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    References listed on IDEAS

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    1. Keller-Ressel, Martin & Mijatović, Aleksandar, 2012. "On the limit distributions of continuous-state branching processes with immigration," Stochastic Processes and their Applications, Elsevier, vol. 122(6), pages 2329-2345.
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