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Stability conditions for a Piecewise Deterministic Markov Process

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Author Info
Fonseca Giovanni () (Department of Economics, University of Insubria, Italy)
Abstract

In 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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File URL: http://eco.uninsubria.it/dipeco/Quaderni/files/QF2005_2.pdf
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Publisher Info
Paper provided by Department of Economics, University of Insubria in its series Economics and Quantitative Methods with number qf0502.

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Length: 29 pages
Date of creation: May 2005
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Handle: RePEc:ins:quaeco:qf0502

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Related research
Keywords: Threshold process Compound Poisson Process Stationary process Ergodicity.

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