Recurrence and transience for jump-diffusion processes

Research output: Contribution to journalArticle

5 Citations (Scopus)

Abstract

The purpose of this work is to obtain sufficient conditions for transience and recurrence of multidimensional jump-diffusion processes, which are driven by Brownian motion and Poisson random measure. The approach adopted here is to construct appropriate Lyapounov functions.

Original languageEnglish
Pages (from-to)1055-1064
Number of pages10
JournalStochastic Analysis and Applications
Volume18
Issue number6
Publication statusPublished - 2000 Dec 1

Fingerprint

Poisson Random Measure
Jump-diffusion Process
Transience
Brownian movement
Recurrence
Brownian motion
Sufficient Conditions
Jump-diffusion process

ASJC Scopus subject areas

  • Applied Mathematics
  • Statistics and Probability

Cite this

Recurrence and transience for jump-diffusion processes. / Wee, In-Suk.

In: Stochastic Analysis and Applications, Vol. 18, No. 6, 01.12.2000, p. 1055-1064.

Research output: Contribution to journalArticle

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