Add to ORKGWe give sets of fairly easy conditions under which a multidimensional diffusion with compound-Poisson jumps possesses several global-stability properties: (exponential) ergodicity, (exponential) β-mixing property, and also boundedness of moments. These are important to statistical inference under long-time asymptotics. The proof in this article is based on Masuda (2007), but we here demonstrate an explicit construction of a “T-chain kernel”, which enables us to deal with a broad class of finite-jump parts under smoothness of the coefficients plus pointwise nondegeneracy of the diffusion-coefficient matrix
International audienceWe consider stochastic differential systems driven by a Brownian motion and a ...
The problem of disorder seeks to determine a stopping time which is as close as possible to the unkn...
This paper aims to study stability in distribution of Markovian switching jump diffusions. The main ...
Let X be a multidimensional diffusion with jumps. We provide sets of conditions under which: X fulfi...
AbstractLet X be a multidimensional diffusion with jumps. We provide sets of conditions under which:...
In this paper, we consider a multidimensional ergodic diffusion with jumps driven by a Brownian moti...
In this article we approximate the invariant distribution ν of an ergodic Jump Diffusion driven by t...
We consider a real-valued diffusion process with a linear jump term driven by a Poisson point proces...
AbstractThe aim of this work is to obtain sufficient conditions for stability of multidimensional ju...
We study a nonparametric estimation of Lévy measures for multidimensional jump-diffusion models fro...
International audienceIn this article, we approximate the invariant distribution ν of an ergodic Jum...
Abstract. We consider a Lévy process Xt and the solution Yt of a stochastic differential equation d...
In this paper, we introduce a new class of processes which are diffusions with jumps driven by a mul...
We consider the class of semi-Markov modulated jump diffusions (sMMJDs) whose operator turns out to ...
International audienceWe consider stochastic differential systems driven by a Brownian motion and a ...
The problem of disorder seeks to determine a stopping time which is as close as possible to the unkn...
This paper aims to study stability in distribution of Markovian switching jump diffusions. The main ...
Let X be a multidimensional diffusion with jumps. We provide sets of conditions under which: X fulfi...
AbstractLet X be a multidimensional diffusion with jumps. We provide sets of conditions under which:...
In this paper, we consider a multidimensional ergodic diffusion with jumps driven by a Brownian moti...
In this article we approximate the invariant distribution ν of an ergodic Jump Diffusion driven by t...
We consider a real-valued diffusion process with a linear jump term driven by a Poisson point proces...
AbstractThe aim of this work is to obtain sufficient conditions for stability of multidimensional ju...
We study a nonparametric estimation of Lévy measures for multidimensional jump-diffusion models fro...
International audienceIn this article, we approximate the invariant distribution ν of an ergodic Jum...
Abstract. We consider a Lévy process Xt and the solution Yt of a stochastic differential equation d...
In this paper, we introduce a new class of processes which are diffusions with jumps driven by a mul...
We consider the class of semi-Markov modulated jump diffusions (sMMJDs) whose operator turns out to ...
International audienceWe consider stochastic differential systems driven by a Brownian motion and a ...
The problem of disorder seeks to determine a stopping time which is as close as possible to the unkn...
This paper aims to study stability in distribution of Markovian switching jump diffusions. The main ...