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Article: Tail of a linear diffusion with Markov switching
Title | Tail of a linear diffusion with Markov switching |
---|---|
Authors | |
Keywords | Heavy tail Ladder heights Light tail Markov switching Ornstein-Uhlenbeck diffusion Perron-frobenius theory Random difference equation Renewal theory |
Issue Date | 2005 |
Publisher | Institute of Mathematical Statistics |
Citation | Annals of Applied Probability, 2005, v. 15 n. 1B, p. 992-1018 How to Cite? |
Abstract | Let Y be an Ornstein-Uhlenbeck diffusion governed by a stationary and ergodic Markov jump process X: dY t= a(X t)Y t dt + σ(X t) dW t, Y 0 = y 0. Ergodicity conditions for Y have been obtained. Here we investigate the tail propriety of the stationary distribution of this model. A characterization of either heavy or light tail case is established. The method is based on a renewal theorem for systems of equations with distributions on ℝ. © Institute of Mathematical Statistics, 2005. |
Persistent Identifier | http://hdl.handle.net/10722/132622 |
ISSN | 2023 Impact Factor: 1.4 2023 SCImago Journal Rankings: 1.620 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | De Saporta, B | en_HK |
dc.contributor.author | Yao, JF | en_HK |
dc.date.accessioned | 2011-03-28T09:27:04Z | - |
dc.date.available | 2011-03-28T09:27:04Z | - |
dc.date.issued | 2005 | en_HK |
dc.identifier.citation | Annals of Applied Probability, 2005, v. 15 n. 1B, p. 992-1018 | en_HK |
dc.identifier.issn | 1050-5164 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/132622 | - |
dc.description.abstract | Let Y be an Ornstein-Uhlenbeck diffusion governed by a stationary and ergodic Markov jump process X: dY t= a(X t)Y t dt + σ(X t) dW t, Y 0 = y 0. Ergodicity conditions for Y have been obtained. Here we investigate the tail propriety of the stationary distribution of this model. A characterization of either heavy or light tail case is established. The method is based on a renewal theorem for systems of equations with distributions on ℝ. © Institute of Mathematical Statistics, 2005. | en_HK |
dc.language | eng | en_US |
dc.publisher | Institute of Mathematical Statistics | en_US |
dc.relation.ispartof | Annals of Applied Probability | en_HK |
dc.rights | © Institute of Mathematical Statistics, 2005. This article is available online at https://doi.org/10.1214/105051604000000828 | - |
dc.subject | Heavy tail | en_HK |
dc.subject | Ladder heights | en_HK |
dc.subject | Light tail | en_HK |
dc.subject | Markov switching | en_HK |
dc.subject | Ornstein-Uhlenbeck diffusion | en_HK |
dc.subject | Perron-frobenius theory | en_HK |
dc.subject | Random difference equation | en_HK |
dc.subject | Renewal theory | en_HK |
dc.title | Tail of a linear diffusion with Markov switching | en_HK |
dc.type | Article | en_HK |
dc.identifier.email | Yao, JF: jeffyao@hku.hk | en_HK |
dc.identifier.authority | Yao, JF=rp01473 | en_HK |
dc.description.nature | published_or_final_version | en_US |
dc.identifier.doi | 10.1214/105051604000000828 | en_HK |
dc.identifier.scopus | eid_2-s2.0-14544275957 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-14544275957&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 15 | en_HK |
dc.identifier.issue | 1B | en_HK |
dc.identifier.spage | 992 | en_HK |
dc.identifier.epage | 1018 | en_HK |
dc.identifier.isi | WOS:000227081400018 | - |
dc.publisher.place | United States | en_HK |
dc.identifier.scopusauthorid | De Saporta, B=6506197682 | en_HK |
dc.identifier.scopusauthorid | Yao, JF=7403503451 | en_HK |
dc.customcontrol.immutable | csl 140409 | - |
dc.identifier.issnl | 1050-5164 | - |