Original article at: http://www.math.washington.edu/~ejpecp/viewarticle.php?id=1323

Stability Properties of Constrained Jump-Diffusion Processes

Rami Atar, Technion - Israel Institute of Technology
Amarjit Budhiraja, University of North Carolina

Abstract

We consider a class of jump-diffusion processes, constrained to a polyhedral cone G of Rn, where the constraint vector field is constant on each face of the boundary. The constraining mechanism corrects for ``attempts'' of the process to jump outside the domain. Under Lipschitz continuity of the Skorohod map Gamma, it is known that there is a cone C such that the image Gamma phi of a deterministic linear trajectory phi remains bounded if and only if dot{phi}in C. Denoting the generator of a corresponding unconstrained jump-diffusion by L, we show that a key condition for the process to admit an invariant probability measure is that for all x in G, L id (x) belongs to a compact subset of Co.

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Original article at: http://www.math.washington.edu/~ejpecp/viewarticle.php?id=1323