Statistics of bounded processes driven by Poisson white noise

S.I. Denisov and Yu.S. Bystrik

Physica A: Statistical Mechanics and its Applications, 2019, vol. 515, issue C, 38-46

Abstract: We study the statistical properties of jump processes in a bounded domain that are driven by Poisson white noise. We derive the corresponding Kolmogorov–Feller equation and provide a general representation for its stationary solutions. Exact stationary solutions of this equation are found and analyzed in two particular cases. All our analytical findings are confirmed by numerical simulations.

Keywords: Bounded processes; Poisson white noise; Kolmogorov–Feller equation; Stationary probability density function (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:515:y:2019:i:c:p:38-46

DOI: 10.1016/j.physa.2018.09.158

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