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Ergodic properties for alpha-CIR models and a class of generalized Fleming-Viot processes

発表形態:
原著論文
主要業績:
主要業績
単著・共著:
単著
発表年月:
2014年07月
DOI:
会議属性:
指定なし
査読:
有り
リンク情報:
Electronic Journal of Probability

日本語フィールド

著者:
Kenji Handa
題名:
Ergodic properties for alpha-CIR models and a class of generalized Fleming-Viot processes
発表情報:
Electronic Journal of Probability 巻: 19 号: 65 ページ: 1-25
キーワード:
概要:
抄録:
We discuss a Markov jump process regarded as a variant of the CIR (Cox-Ingersoll-Ross) model and its infinite-dimensional extension. These models belong to a class of measure-valued branching processes with immigration, whose jump mechanisms are governed by certain stable laws. The main result gives a lower spectral gap estimate for the generator. As an application, a certain ergodic property is shown for the generalized Fleming-Viot process obtained as the time-changed ratio process.

英語フィールド

Author:
Kenji Handa
Title:
Ergodic properties for alpha-CIR models and a class of generalized Fleming-Viot processes
Announcement information:
Electronic Journal of Probability Vol: 19 Issue: 65 Page: 1-25
An abstract:
We discuss a Markov jump process regarded as a variant of the CIR (Cox-Ingersoll-Ross) model and its infinite-dimensional extension. These models belong to a class of measure-valued branching processes with immigration, whose jump mechanisms are governed by certain stable laws. The main result gives a lower spectral gap estimate for the generator. As an application, a certain ergodic property is shown for the generalized Fleming-Viot process obtained as the time-changed ratio process.


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