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Establishing geometric drift via the Laplace transform of symmetric measures

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  • Hansen, Niels Richard
  • Hansen, Ernst

Abstract

A new kind of drift function based on the Laplace transform of rotation symmetric measures on is introduced and applied to the class of the so-called affine Markov chains. An example is given where this approach provides a better criterion for geometric drift than standard drift functions.

Suggested Citation

  • Hansen, Niels Richard & Hansen, Ernst, 2002. "Establishing geometric drift via the Laplace transform of symmetric measures," Statistics & Probability Letters, Elsevier, vol. 60(3), pages 289-295, December.
    • Handle: RePEc:eee:stapro:v:60:y:2002:i:3:p:289-295
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    References listed on IDEAS

    as
    1. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(1), pages 122-150, February.
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