Stability conditions for a Piecewise Deterministic Markov Process
AbstractIn the present paper we study the stability of a threshold continuos-time model that belongs to the class of Piecewise Deterministic Markov Processes. We derive a sufficient condition on the coefficients of the model to ensure the exponential ergodicity of the process under two different assumptions on the jumps.
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Bibliographic InfoPaper provided by Department of Economics, University of Insubria in its series Economics and Quantitative Methods with number qf0502.
Length: 29 pages
Date of creation: May 2005
Date of revision:
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Threshold process; Compound Poisson Process; Stationary process; Ergodicity.;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-01-13 (All new papers)
- NEP-ECM-2007-01-13 (Econometrics)
- NEP-ETS-2007-01-13 (Econometric Time Series)
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