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math.PR2012
Some sufficient conditions for the ergodicity of the Lévy transformation
Vilmos Prokaj
We propose a possible way of attacking the question posed originally by Daniel Revuz and Marc Yor in their book published in 1991. They were asking whether the Lévy transformation…
math.PR2012★ 5 cited
Diffusions with rank-based characteristics and values in the nonnegative quadrant
Tomoyuki Ichiba, Ioannis Karatzas, Vilmos Prokaj
We construct diffusions with values in the nonnegative orthant, normal reflection along each of the axes, and two pairs of local drift/variance characteristics assigned according t…