Absolute continuity of the invariant measure in piecewise deterministic Markov Processes having degenerate jumps

E. Löcherbach

Stochastic Processes and their Applications, 2018, vol. 128, issue 6, 1797-1829

Abstract: We consider piecewise deterministic Markov processes with degenerate transition kernels of the house-of-cards- type. We use a splitting scheme based on jump times to prove the absolute continuity, as well as some regularity, of the invariant measure of the process. Finally, we obtain finer results on the regularity of the one-dimensional marginals of the invariant measure, using integration by parts with respect to the jump times.

Keywords: Piecewise deterministic Markov processes; Invariant measure; Integration by parts based on jump times; Jump processes (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.spa.2017.08.011

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