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arXiv · 2006.09140

Perpetual Integral Functionals of Multidimensional Stochastic Processes

Yuri Kondratiev·Yuliya Mishura·José L. da Silva
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Abstract

The paper is devoted to the existence of integral functionals $\int_0^\infty f(X(t))\,{\mathrm{d}t}$ for several classes of processes in $\mathbb{R}$ with $d\ge 3$. Some examples such as Brownian motion, fractional Brownian motion, compound Poisson process, Markov processes admitting densities of transitional probabilities are considered.

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Yuri Kondratiev, Yuliya Mishura, José L. da Silva. 2020-06-16. Perpetual Integral Functionals of Multidimensional Stochastic Processes. https://doi.org/10.1080/17442508.2021.1900185

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