Ergodic properties of generalized Ornstein--Uhlenbeck processes

Peter Kevei

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arXiv · 1606.01232

Ergodic properties of generalized Ornstein--Uhlenbeck processes

Peter Kevei

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Abstract

We investigate ergodic properties of generalized Ornstein--Uhlenbeck processes. In particular, we provide sufficient conditions for ergodicity, and for subexponential and exponential convergence to the invariant probability measure. We use the Foster--Lyapunov method. The drift conditions are obtained using the explicit form of the generator of the continuous process. In some special cases the optimality of our results can be shown.

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BibTeX RIS

Peter Kevei. 2016-06-03. Ergodic properties of generalized Ornstein--Uhlenbeck processes. https://arxiv.org/abs/1606.01232

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