The Stationary Distributions of Doubly Skew Ornstein-Uhlenbeck Processes and Markov-modulated Skew Ornstein-Uhlenbeck Processes
International Journal of Science and Research (IJSR)

International Journal of Science and Research (IJSR)
www.ijsr.net | Open Access | Fully Refereed | Peer Reviewed International Journal

ISSN: 2319-7064

Views: 136 , Downloads: 104 | CTR: 76 % | Weekly Popularity: ⮙5

Research Paper | Mathematics | China | Volume 5 Issue 6, June 2016

The Stationary Distributions of Doubly Skew Ornstein-Uhlenbeck Processes and Markov-modulated Skew Ornstein-Uhlenbeck Processes

Danfeng Zhao, Ye Liu

In this paper, we consider the stationary density function of the doubly skew Ornstein-Uhlenbeck process. We present the explicit formula for the stationary density function and show that this process is positive Harris recurrent and geometrically ergodic. We expand our method to the more general cases in which the multiple parameters are present and we try to consider the stability of the skew Ornstein-Uhlenbeck process whose parameters depend on a finite-state and irreducible continuous-time Markov chain. Then we offer the stationary distribution equation of this bivariate process through their infinitesimal generator and the explicit stationary distributions are list as a special case.

Keywords: doubly skew Ornstein-Uhlenbeck process, markov-modulated process, stationary distribution

Edition: Volume 5 Issue 6, June 2016

Pages: 1495 - 1499

Share this Article

How to Cite this Article?

Danfeng Zhao, Ye Liu, "The Stationary Distributions of Doubly Skew Ornstein-Uhlenbeck Processes and Markov-modulated Skew Ornstein-Uhlenbeck Processes", International Journal of Science and Research (IJSR), https://www.ijsr.net/search_index_results_paperid.php?id=NOV164001, Volume 5 Issue 6, June 2016, 1495 - 1499

136 PDF Views | 104 PDF Downloads

Download Article PDF



Similar Articles with Keyword 'stationary distribution'

Views: 136 , Downloads: 104 | CTR: 76 % | Weekly Popularity: ⮙5

Research Paper, Mathematics, China, Volume 5 Issue 6, June 2016

Pages: 1495 - 1499

The Stationary Distributions of Doubly Skew Ornstein-Uhlenbeck Processes and Markov-modulated Skew Ornstein-Uhlenbeck Processes

Danfeng Zhao, Ye Liu

Share this Article

Views: 120 , Downloads: 107 | CTR: 89 % | Weekly Popularity: ⮙2

Research Paper, Mathematics, India, Volume 5 Issue 1, January 2016

Pages: 1986 - 1990

An Analysis of Queueing Model with a Multiple System Governed by a Quasi-Birth Death Process and PH Service and PH Repair

M. Reni Sagaya Raj, B. Chandrasekar

Share this Article
Top