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August 2015 A criterion for invariant measures of Itô processes based on the symbol
Anita Behme, Alexander Schnurr
Bernoulli 21(3): 1697-1718 (August 2015). DOI: 10.3150/14-BEJ618

Abstract

An integral criterion for the existence of an invariant measure of an Itô process is developed. This new criterion is based on the probabilistic symbol of the Itô process. In contrast to the standard integral criterion for invariant measures of Markov processes based on the generator, no test functions and hence no information on the domain of the generator is needed.

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Anita Behme. Alexander Schnurr. "A criterion for invariant measures of Itô processes based on the symbol." Bernoulli 21 (3) 1697 - 1718, August 2015. https://doi.org/10.3150/14-BEJ618

Information

Received: 1 October 2013; Published: August 2015
First available in Project Euclid: 27 May 2015

zbMATH: 1328.60130
MathSciNet: MR3352058
Digital Object Identifier: 10.3150/14-BEJ618

Keywords: Feller process , invariant measure , Itô process , Lévy-type process , stationarity , Stochastic differential equation , symbol

Rights: Copyright © 2015 Bernoulli Society for Mathematical Statistics and Probability

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Vol.21 • No. 3 • August 2015
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