Ergodic behavior of diffusions with random jumps from the boundary

Iddo Ben-Ari and Ross G. Pinsky

Stochastic Processes and their Applications, 2009, vol. 119, issue 3, 864-881

Abstract: We consider a diffusion process on , which upon hitting [not partial differential]D, is redistributed in D according to a probability measure depending continuously on its exit point. We prove that the distribution of the process converges exponentially fast to its unique invariant distribution and characterize the exponent as the spectral gap for a differential operator that serves as the generator of the process on a suitable function space.

Keywords: Diffusion; processes; Spectral; gap; Rate; of; convergence; Invariant; measure; Ergodic (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (4)

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