Long time asymptotics of unbounded additive functionals of Markov processes
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DOI: 10.1214/17-ejp104
Abstract: Under hypercontractivity and $L_p$-integrability of transition density for some $p>1$, we use the perturbation theory of linear operators to obtain existence of long time asymptotics of exponentials of unbounded additive functionals of Markov processes and… read more here.
Keywords: time asymptotics; unbounded additive; additive functionals; markov processes ... See more keywords
Exponential functionals of Markov additive processes
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DOI: 10.1214/20-ejp441
Abstract: We provide necessary and sufficient conditions for convergence of exponential integrals of Markov additive processes. Other than in the classical L\'evy case studied by Erickson and Maller we have to distinguish between almost sure convergence… read more here.
Keywords: markov additive; additive processes; exponential functionals; functionals markov ... See more keywords