Invariant Measure for Diffusions with Jumps
نویسندگان
چکیده
منابع مشابه
Invariant Measure for Diffusions with Jumps
Our purpose is to study an ergodic linear equation associated to diffusion processes with jumps in the whole space. This integro-differential equation plays a fundamental role in ergodic control problems of second order Markov processes. The key result is to prove the existence and uniqueness of an invariant density function for a jump diffusion, whose lower order coefficients are only Borel me...
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ژورنال
عنوان ژورنال: Applied Mathematics and Optimization
سال: 1999
ISSN: 0095-4616,1432-0606
DOI: 10.1007/s002459900118