Stability conditions for a Piecewise Deterministic Markov Process

Fonseca Giovanni
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Fonseca Giovanni: Department of Economics, University of Insubria, Italy

Economics and Quantitative Methods from Department of Economics, University of Insubria

Abstract: In the present paper we study the stability of a threshold continuos-time model that belongs to the class of Piecewise Deterministic Markov Processes. We derive a sufficient condition on the coefficients of the model to ensure the exponential ergodicity of the process under two different assumptions on the jumps.

Keywords: Threshold process; Compound Poisson Process; Stationary process; Ergodicity. (search for similar items in EconPapers)
Pages: 29 pages
Date: 2005-05
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:ins:quaeco:qf0502

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