Algebraic ergodicity for SDEs driven by Lévy processes

Yan-Hong Song

Statistics & Probability Letters, 2016, vol. 119, issue C, 108-115

Abstract: In the paper, a sufficient condition for the algebraic ergodicity for stochastic differential equations driven by Lévy processes is presented. The method is based on direct evaluations of the algebraic moment for the hitting time to some set.

Keywords: Stochastic differential equations; Lévy processes; Algebraic ergodicity; Hitting times (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:119:y:2016:i:c:p:108-115

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DOI: 10.1016/j.spl.2016.07.004

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