Add to ORKGIn his seminal work from the 1950s, William Feller classified all one-dimensional diffusions on −∞≤a<b≤∞ in terms of their ability to access the boundary (Feller's test for explosions) and to enter the interior from the boundary. Feller's technique is restricted to diffusion processes as the corresponding differential generators allow explicit computations and the use of Hille-Yosida theory. In the present article we study exit and entrance from infinity for the most natural generalization, that is, jump diffusions of the form dZt=σ(Zt−)dXt, driven by stable Lévy processes for α∈(0,2). Many results have been proved for jump diffusions, employing a variety of techniques developed after Feller's work but exit and entrance from infinite boun...
Let (A,D(A)) be the infinitesimal generator of a Feller semigroup such that C c ∞(ℝ n )⊂D(A) and A|C...
We consider stochastic diffusion processes subject to jumps that occur at random times. We assume t...
AbstractEarlier results on weak convergence to diffusion processes [8] are generalized to cases wher...
In his seminal work from the 1950s, William Feller classified all one-dimensional diffusions on −∞≤a...
AbstractWe consider the problem of constructing entrance laws for Feller diffusions on the state spa...
AbstractIn this paper we consider the stability for a class of jump-diffusions with Markovian switch...
The purpose of this paper is to consider the exit-time problem for a finite-range Markov jump proces...
AbstractThis work is concerned with a class of jump-diffusion processes with state-dependent switchi...
KeywordsLet X(t) be a time-homogeneous one-dimensional diffusion process defined in I , starting at...
In this paper, we study quasi-stationarity for a large class of Kolmogorov diffusions. The main nove...
In this paper we consider diffusions on the half line (0, ∞) such that the expectation of the arriva...
We study the problem of the first passage time through a constant boundary for a jump diffusion proc...
We consider a jumping Markov process . We study the absolute continuity of the law of for t>0. We fi...
Abstract. Using analytical methods we obtain the integral representation of a two-parameter Feller s...
AbstractWe consider a jumping Markov process {Xtx}t≥0. We study the absolute continuity of the law o...
Let (A,D(A)) be the infinitesimal generator of a Feller semigroup such that C c ∞(ℝ n )⊂D(A) and A|C...
We consider stochastic diffusion processes subject to jumps that occur at random times. We assume t...
AbstractEarlier results on weak convergence to diffusion processes [8] are generalized to cases wher...
In his seminal work from the 1950s, William Feller classified all one-dimensional diffusions on −∞≤a...
AbstractWe consider the problem of constructing entrance laws for Feller diffusions on the state spa...
AbstractIn this paper we consider the stability for a class of jump-diffusions with Markovian switch...
The purpose of this paper is to consider the exit-time problem for a finite-range Markov jump proces...
AbstractThis work is concerned with a class of jump-diffusion processes with state-dependent switchi...
KeywordsLet X(t) be a time-homogeneous one-dimensional diffusion process defined in I , starting at...
In this paper, we study quasi-stationarity for a large class of Kolmogorov diffusions. The main nove...
In this paper we consider diffusions on the half line (0, ∞) such that the expectation of the arriva...
We study the problem of the first passage time through a constant boundary for a jump diffusion proc...
We consider a jumping Markov process . We study the absolute continuity of the law of for t>0. We fi...
Abstract. Using analytical methods we obtain the integral representation of a two-parameter Feller s...
AbstractWe consider a jumping Markov process {Xtx}t≥0. We study the absolute continuity of the law o...
Let (A,D(A)) be the infinitesimal generator of a Feller semigroup such that C c ∞(ℝ n )⊂D(A) and A|C...
We consider stochastic diffusion processes subject to jumps that occur at random times. We assume t...
AbstractEarlier results on weak convergence to diffusion processes [8] are generalized to cases wher...