Domain of attraction of the quasi-stationary distributions for the Ornstein-Uhlenbeck process-Reference-Cited by-同舟云学术

Domain of attraction of the quasi-stationary distributions for the Ornstein-Uhlenbeck process

Published:2000-06 Issue:2 Volume:37 Page:511-520
ISSN:0021-9002
Container-title:Journal of Applied Probability
language:en
Short-container-title:Journal of Applied Probability

Author:

Lladser Manuel,San Martín Jaime

Abstract

Let (Xt) be a one-dimensional Ornstein-Uhlenbeck process with initial density functionf: ℝ+→ ℝ+, which is a regularly varying function with exponent -(1 + η), η ∊ (0,1). We prove the existence of a probability measure ν with a Lebesgue density, depending on η, such that for everyA∊B(R+):

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

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