Boundary behavior and product-from stationary distributions of jump diffusions in the orthant with state-dependent reflections

Advances in Applied Probability

Volumn 40, Issue 2, 2008, Pages 529-547

  Piera, Francisco J ^a   Mazumdar, Ravi R ^b   Guillemin, Fabrice M ^c  

^a UNIVERSITY OF CHILE   (Chile)

^b UNIVERSITY OF WATERLOO   (Canada)

^c ORANGE LABS   (France)

Author keywords

Diffusion; Jumps; Local time; Product form; Reflection map; Regulator process; Semimartingale; Stationary distribution

Indexed keywords

DIFFUSION; JUMPS; LOCAL TIME; NONNEGATIVE ORTHANT; ORTHANT; PRODUCT FORM; REFLECTION MAP; REGULATOR PROCESS; SEMIMARTINGALE; STATE-DEPENDENT; STATIONARY DISTRIBUTION; STATIONARY DISTRIBUTIONS;

SEMICONDUCTOR DOPING;

EID: 49349104085     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1239/aap/1214950215     Document Type: Article

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