Linear diffusion with stationary switching regime

DOI10.1051/PS:2003017zbMath1033.60084OpenAlexW2120436883MaRDI QIDQ4452119

Serge Iovleff, Xavier Guyon, Jian-feng Yao

Publication date: 11 February 2004

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=PS_2004__8__25_0

zbMATH Keywords

ergodicityMarkov switchingjump processrandom difference equationsexistence of momentsOrnstein-Uhlenbeck diffusion

Mathematics Subject Classification ID

Diffusion processes (60J60)

Related Items (12)

Detecting and estimating intensity of jumps for discretely observed \(\mathrm{ARMA}D(1,1)\) processes ⋮ The Stationary Distributions of Two Classes of Reflected Ornstein–Uhlenbeck Processes ⋮ Jump-diffusions with state-dependent switching: existence and uniqueness, Feller property, linearization, and uniform ergodicity ⋮ Coupling for Markovian switching jump-diffusions ⋮ Successful couplings for diffusion processes with state-dependent switching ⋮ Algorithmic estimation of risk factors in financial markets with stochastic drift ⋮ Tail of a linear diffusion with Markov switching ⋮ Markov-modulated Ornstein–Uhlenbeck processes ⋮ Decay rates for stabilization of linear continuous-time systems with random switching ⋮ Tail of a linear diffusion with Markov switching ⋮ Exponential ergodicity for Markov processes with random switching ⋮ Coupling and Exponential Convergence Rate for Markovian Switching Jump Diffusions

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