Laplace symbols and invariant distributions

Anita Behme and Alexander Schnurr

Statistics & Probability Letters, 2018, vol. 137, issue C, 217-223

Abstract: We introduce a new kind of symbol in the framework of Itô processes which are bounded on one side. The connection between this symbol and the infinitesimal generator is analyzed. Based on this concept, an integral criterion for invariant distributions of the underlying process is derived. Some applications are mentioned.

Keywords: Invariant measure; Itô process; Lévy-type process; Stationarity; Symbol; Laplace transform (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.spl.2018.01.023

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