Cut-off phenomenon for Ornstein-Uhlenbeck processes driven by Lévy processes

Gerardo Barrera Vargas, Juan Carlos Pardo

Forskningsoutput: TidskriftsbidragArtikelPeer review

Sammanfattning

In this paper, we study the cut-off phenomenon under the total variation distance
of d-dimensional Ornstein-Uhlenbeck processes which are driven by Lévy processes.
That is to say, under the total variation distance, there is an abrupt convergence of
the aforementioned process to its equilibrium, i.e. limiting distribution. Despite that
the limiting distribution is not explicit, its distributional properties allow us to deduce that a profile function always exists in the reversible cases and it may exist in the non-reversible cases under suitable conditions on the limiting distribution. The cut-off phenomena for the average and superposition processes are also determined.
Originalspråkengelska
Artikelnummer15
TidskriftElectronic Journal of Probability
Volym25
Utgåva15
Sidor (från-till)1-33
Antal sidor33
ISSN1083-6489
DOI
StatusPublicerad - 2020
MoE-publikationstypA1 Tidskriftsartikel-refererad

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