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math.PR2015
The Enskog Process
S. Albeverio, B. Rüdiger, P. Sundar
The existence of a weak solution to a McKean-Vlasov type stochastic differential system corresponding to the Enskog equation of the kinetic theory of gases is established under nat…
math.PR2015
Positive Harris recurrence and exponential ergodicity of the basic affine jump-diffusion
Peng Jin, Barbara Rüdiger, Chiraz Trabelsi
In this paper we find the transition densities of the basic affine jump-diffusion (BAJD), which is introduced by Duffie and Garleanu [D. Duffie and N. Garleanu, Risk and valuation…