Quasi-stationary distributions for continuous-time λ-recurrent jump processes

2024/07/29 by Qian Du, Du, Qian, Yong-Hua Mao +1
Business, Management and Accounting · Economics, Econometrics and Finance · Mathematics · #Advanced Queuing Theory Analysis #FOS: Mathematics #Probability (math.PR) #Stochastic processes and financial applications #advanced mathematical theories

paper · pdf · doi:10.48550/arxiv.2407.19803

openalex publication_date 2024/07/29 · openalex created_date 2024/08/01 · openalex updated_date 2026/07/28

Abstract

For the continuous-time λ-recurrent jump process, the λ-recurrence assures the existence of quasi-stationary distribution when it has finite exit states (the states that have positive killing rates). And we give an explicit representation for this quasi-stationary distribution through Q-matrix, where the components of the quasi-stationary distribution outside the set H of exit states can be represented by those within H. Sufficient condition is also provided for quasi-stationary distribution when the exit states are infinite.

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