Extended Poisson equation for weakly ergodic Markov processes
Анотація
Solvability conditions for a Poisson equation with an extended generator of a general Markov process are obtained. The predictable part in the DoobâMeyer decomposition is described for a process of the form $g(X(t), Y(t))$, where $Y$ is a solution of a stochastic equation with the coefficients depending on $X$ and where the function $g=g(x,y)$ is defined as a family of solutions of the Poisson equation.
Класифікація
Ідентифікатори
Рецензії (0)
Написати рецензіюРецензій ще немає. Будьте першим!
Схожі роботи
Asymptotic Properties of Drift Parameter Estimator Based on Discrete Observations of Stochastic Differential Equation Driven by Fractional Brownian Motion
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics
Stochastic representation and path properties of a fractional Cox–Ingersoll–Ross process
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics
Transformations of Telegraph Processes and Their Financial Applications
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics
Optimization of small deviation for mixed fractional Brownian motion with trend
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics
Generalized Peano problem with Lévy noise
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics
An estimate of the rate of convergence of an approximating scheme applied to a stochastic differential equation with an additional parameter
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics