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Full-Text Articles in Physical Sciences and Mathematics
Invariant Measure For Diffusions With Jumps, Jose-Luis Menaldi, Maurice Robin
Invariant Measure For Diffusions With Jumps, Jose-Luis Menaldi, Maurice Robin
Mathematics Faculty Research Publications
Our purpose is to study an ergodic linear equation associated to diffusion processes with jumps in the whole space. This integro-differential equation plays a fundamental role in ergodic control problems of second order Markov processes. The key result is to prove the existence and uniqueness of an invariant density function for a jump diffusion, whose lower order coefficients are only Borel measurable. Based on this invariant probability, existence and uniqueness (up to an additive constant) of solutions to the ergodic linear equation are established.
Ergodic Control Of Reflected Diffusions With Jumps, Jose-Luis Menaldi, Maurice Robin
Ergodic Control Of Reflected Diffusions With Jumps, Jose-Luis Menaldi, Maurice Robin
Mathematics Faculty Research Publications
No abstract provided.
Remarks On Estimates For The Green Function, Jose Luis Menaldi
Remarks On Estimates For The Green Function, Jose Luis Menaldi
Mathematics Faculty Research Publications
No abstract provided.