The Annals of Applied Probability · 2005 · 91 citations · 32 references
EngineeringMathematicsProbability TheoryStochastic ModelingStochastic ProcessesContinuous-time Stochastic ProcessesDiffusion ProcessesErgodic TheoryMarkov ProcessesStochastic Differential EquationsErgodic PropertiesErgodicityErgodicity ConditionsErgodicity Of DiffusionsStrong Markov Property
We derive sufficient conditions for subgeometric f-ergodicity of strongly Markovian processes. We first propose a criterion based on modulated moment of some delayed return-time to a petite set. We then formulate a criterion for polynomial f-ergodicity in terms of a drift condition on the generator. Applications to specific processes are considered, including Langevin tempered diffusions on ℝn and storage models.
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An Introduction to Probability Theory.
Bert Fristedt, P. A. P. Moran · Journal of the American Statistical Association · 1986 · 3.4K citations