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Displaying similar documents to “Triangular stochastic differential equations with boundary conditions”

Markov functions

Joseph Glover (1991)

Annales de l'I.H.P. Probabilités et statistiques

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Systems of differential equations modeling non-Markov processes

Irada Dzhalladova, Miroslava Růžičková (2023)

Archivum Mathematicum

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The work deals with non-Markov processes and the construction of systems of differential equations with delay that describe the probability vectors of such processes. The generating stochastic operator and properties of stochastic operators are used to construct systems that define non-Markov processes.

Stochastic differential equation driven by a pure-birth process

Marta Tyran-Kamińska (2002)

Annales Polonici Mathematici

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A generalization of the Poisson driven stochastic differential equation is considered. A sufficient condition for asymptotic stability of a discrete time-nonhomogeneous Markov process is proved.

Bounds on regeneration times and limit theorems for subgeometric Markov chains

Randal Douc, Arnaud Guillin, Eric Moulines (2008)

Annales de l'I.H.P. Probabilités et statistiques

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This paper studies limit theorems for Markov chains with general state space under conditions which imply subgeometric ergodicity. We obtain a central limit theorem and moderate deviation principles for additive not necessarily bounded functional of the Markov chains under drift and minorization conditions which are weaker than the Foster–Lyapunov conditions. The regeneration-split chain method and a precise control of the modulated moment of the hitting time to small sets are employed...