Diffusions with holding and jumping boundary  

作　　者：PENG Jun LI WenBo V. 

机构地区：[1]School of Mathematics and Statistics,Central South University [2]Department of Mathematical Sciences,University of Delaware

出　　处：《Science China Mathematics》2013年第1期161-176,共16页中国科学：数学（英文版）

基　　金：supported by National Natural Science Foundation of China(Grant No.11101433);the Fundamental Research Funds for the Central South University(Grant No.2011QNZT105);Doctorial Dissertation Program of Hunan Province(Grant No.YB2011B009);US National Science Foundation (Grant Nos.AMC-SS-0706713,DMS-0805929,NSFC-6398100 and CAS-2008DP173182)

摘　　要：Consider a family of probability measures {vξ} on a bounded open region D C Rd with a smooth boundary and a positive parameter set {βξ}, all indexed by ξ∈δD. For any starting point inside D, we run a diffusion until it first exits D, at which time it stays at the exit point ξ for an independent exponential holding time with rate βξ and then leaves ξ by a jump into D according to the distribution ξ. Once the process jumps inside, it starts the diffusion afresh. The same evolution is repeated independently each time the process jumped into the domain. The resulting Markov process is called diffusion with holding and jumping boundary （DHJ）, which is not reversible due to the jumping. In this paper we provide a study of DHJ on its generator, stationary distribution and the speed of convergence.Consider a family of probability measures {νξ} on a bounded open region D R d with a smooth boundary and a positive parameter set {βξ},all indexed by ξ∈D.For any starting point inside D,we run a diffusion until it first exits D,at which time it stays at the exit point ξ for an independent exponential holding time with rate βξ and then leaves ξ by a jump into D according to the distribution νξ.Once the process jumps inside,it starts the diffusion afresh.The same evolution is repeated independently each time the process jumped into the domain.The resulting Markov process is called diffusion with holding and jumping boundary(DHJ),which is not reversible due to the jumping.In this paper we provide a study of DHJ on its generator,stationary distribution and the speed of convergence.

关 键 词：DIFFUSIONS holding and jumping boundary ERGODICITY convergence speed spectral gap 

分 类 号：TB12[理学—工程力学]