Studies on recurrence and moments of transition probabilities of jump type Markov processes
Project/Area Number 
13640127

Research Category 
GrantinAid for Scientific Research (C)

Allocation Type  Singleyear Grants 
Section  一般 
Research Field 
General mathematics (including Probability theory/Statistical mathematics)

Research Institution  University of the Ryukyus 
Principal Investigator 
YAMAZATO Makoto YAMAZATO,Makoto, 理学部, 教授 (00015900)

CoInvestigator(Kenkyūbuntansha) 
SUGIURA M. University of the Ryukyus, Dept.Math.Sci., Associate Prof., 理学部, 助教授 (70252228)
CHEN C. University of the Ryukyus, Dept.Math.Sci., Associate Prof., 理学部, 助教授 (00264466)

Project Period (FY) 
2001 – 2003

Project Status 
Completed (Fiscal Year 2003)

Budget Amount *help 
¥3,500,000 (Direct Cost: ¥3,500,000)
Fiscal Year 2003: ¥1,100,000 (Direct Cost: ¥1,100,000)
Fiscal Year 2002: ¥1,100,000 (Direct Cost: ¥1,100,000)
Fiscal Year 2001: ¥1,300,000 (Direct Cost: ¥1,300,000)

Keywords  storage process / recurrence / moment / tail behavior / skipfree process / hitting time / local time / Levy measure / 加法過程 / OU type process / モーメント / submultiplicativity / subexponentiality / subadditive functional / 再帰性 
Research Abstract 
Main results of this research are the following : 1.We gave representations of the Levy measureof the hitting time process of skip free Levy process in terms of its local time.This result is an answer to a question what is a natural generalization of the continuous local time to discontinuous one.While the result is simple and the proof is short, the result seems new.Moreover, we represented the Levy measure of the hitting time process by the probability function or the canonical density of the transition probability in case that the transition probability is discrete or absolutely continuous, respectively. 2.We gave new sufficient conditions for recurrence and transience of storage process in terms of Levy measure of its input process and release rate.By applying this result we obtained the necessary and sufficient condition for recurrence in case thatthe input process is stable process and the release rate is a power function.We improved known sufficient conditions for recurrence and transience in case that the release rate is bounded.We pointed out that a part of the result corresponds to the recurrencetransience condition for Bessel processes. 3.We gave conditions for the existence(nonexistence)of general ized moments of storage prooess in terms of the existence(nonexistence)of the generalized moments of the Levy measure of its input process. 4.We gave relations between the tail behavior of the transition probability of storage process and the tail behavior of the Levy measure of its input process. In order to obtain this result, the concept subexponential ity, which was given by Chistyakov, and subadditivity, which is considered by Rosinsky and Samorodnitky, were useful. Interesting phenomenon common in 2, 3 and 4 is that OrnsteinUhLenbeck type process plays a critical role in case the release rate is a power function.

Report
(4 results)
Research Products
(16 results)