Brownian Motion and Martingales in Analysis - Durrett, R.
Some Aspects of Brownian Motion. Part I: Some Special Functionals - M, Yor.
Stationary distributions for jump processes with memory
We analyze a jump processes with a jump measure determined by a “memory” process . The state space of is the Cartesian product of the unit circle and the real line. We prove that the stationary distribution of is the product of the uniform probability measure and a Gaussian distribution.
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