Tail of a linear diffusion with Markov switching (Q5916118)
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scientific article; zbMATH DE number 2136388
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Tail of a linear diffusion with Markov switching |
scientific article; zbMATH DE number 2136388 |
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Tail of a linear diffusion with Markov switching (English)
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22 February 2005
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This paper deals with an Ornstein-Uhlenbeck diffusion \(Y\) governed by a stationary and ergodic Markov jump process \(X\), i.e. \(dY_t=a(X_t)Y_tdt+\sigma(X_t)\,dW_t\), \(Y_0=y_0\). Ergodicity conditions for \(Y\) have been obtained. They also investigate the tail property of the stationary distribution of this model. A characterisation of the only two possible cases is established: light tail or polynomial tail. The method of investigation is based on discretizations and renewal theory.
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Ornstein-Uhlenbeck diffusion
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stationary and ergodic jump process
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