Further applications of a general rate conservation law

Indrajit Bardhan

Stochastic Processes and their Applications, 1995, vol. 60, issue 1, 113-130

Abstract: Some further applications of a General Rate Conservation Law (GRCL) for stationary semimartingales are presented. GRCL is used to characterize the distribution of the reflection of Lévy processes with arbitrary jumps. The stationary distribution of a general jump-diffusion with a reflecting boundary is derived and an interesting stochastic decomposition result is obtained. A multidimensional version of GRCL is used to examine the stationary behaviour of a multidimensional reflected Lévy process. The relationship between GRCL and pathwise rate conservation is reviewed.

Keywords: Rate; conservation; Stationary; ergodic; processes; Semimartingales; Lévy; processes; State-dependent; jump-diffusions; Sample-path (search for similar items in EconPapers)
Date: 1995
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0304-4149(95)00052-6
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:60:y:1995:i:1:p:113-130

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().