Stationary Measures for Stochastic Differential Equations with Jumps

2012/09/04 by Huijie Qiao, Qiao, Huijie, Jinqiao Duan +1
Economics, Econometrics and Finance · #28C10 #60G52 #60H10 #60J35 #FOS: Mathematics #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1209.0658

openalex publication_date 2012/09/04 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In the paper, stationary measures of stochastic differential equations with jumps are considered. Under some general conditions, existence of stationary measures is proved through Markov measures and Lyapunov functions. Moreover, for two special cases, stationary measures are given by solutions of Fokker-Planck equations and long time limits for the distributions of system states.

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