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On the notion of Markov–up processes

P. 219–223.
Veretennikov A., Veretennikova M.

A new notion of ``Markov up'' processes is discussed. A toy model of this notion is proposed and discussed; recurrence and ergodic properties are studied.

Language: English
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Keywords: positive recurrenceположительная возвратностьMarkov-up processМарковский вверх процесс
Publication based on the results of:
Methods development of the fractional stochastic calculus (2020)

In book

Сборник материалов V-й Международной конференции по стохастическим методам: The 5th International Conference on Stochastic Methods (ICSM5). 23-27 November 2020, Russia, Moscow.
M.: RUDN, 2020.
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Second order recurrence are established for a d-dimensional diffusion with an additive Wiener process, with switching, and with one recurrent and one transient regime and constant switching intensities, under suitable conditions. As a corollary, the rate of convergence towards the invariant regime of order t^{−2} is claimed. The approach is based on embedded Markov chains ...
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