| Author | dc.contributor.author | Piera Ugarte, Francisco | es_CL |
| Author | dc.contributor.author | Mazumdar, Ravi R. | |
| Admission date | dc.date.accessioned | 2010-01-12T20:15:05Z | |
| Available date | dc.date.available | 2010-01-12T20:15:05Z | |
| Publication date | dc.date.issued | 2008-10-30 | |
| Cita de ítem | dc.identifier.citation | ELECTRONIC JOURNAL OF PROBABILITY, Volume: 13, Pages: 1886-1908, 2008 | en_US |
| Identifier | dc.identifier.uri | https://repositorio.uchile.cl/handle/2250/125094 | |
| Abstract | dc.description.abstract | We consider reflected jump-diffusions in the orthant Rn
+ with time- and state-dependent drift, diffusion
and jump-amplitude coefficients. Directions of reflection upon hitting boundary faces are
also allow to depend on time and state. Pathwise comparison results for this class of processes
are provided, as well as absolute continuity properties for their associated regulator processes
responsible of keeping the respective diffusions in the orthant. An important role is played by
the boundary property in that regulators do not charge times spent by the reflected diffusion
at the intersection of two or more boundary faces. The comparison results are then applied to
provide an ergodicity condition for the state-dependent reflection directions case. | en_US |
| Patrocinador | dc.description.sponsorship | ∗Research supported in part by VID, U. of Chile, Chile, DI Project REIN 06/05, by CONICYT, Chile, FONDECYT Project
1070797, and by the Millennium Science Nucleus on Information and Randomness, Dept. of Mathematical Engineering,
U. of Chile, Chile, Program P04-069-F.
†Research supported in part by NSERC, Canada, through the Discovery Grant Program. | en_US |
| Lenguage | dc.language.iso | en | en_US |
| Publisher | dc.publisher | UNIV WASHINGTON, DEPT MATHEMATICS | en_US |
| Keywords | dc.subject | Jump-diffusion processes; | en_US |
| Título | dc.title | Comparison Results for Reflected Jump-diffusions in the Orthant with Variable Reflection Directions and Stability Applications | en_US |
| Document type | dc.type | Artículo de revista | |
