Exact long time behavior of some regime switching stochastic processes

DOI10.3150/20-BEJ1196MaRDI QIDQ2203615zbMATH OpenOpenAlexFDO

Authors Filip Lindskog, Abhishek Pal Majumder

Publication date 7 October 2020

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1904.01474, https://projecteuclid.org/euclid.bj/1598493624

zbMATH Keywords

Cox Ingersoll Rosslong time behaviorOrnstein Uhlenbeckregime switchingSIS epidemic model

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Diffusion processes (60J60)

Abstract: Regime switching processes have proved to be indispensable in the modeling of various phenomena, allowing model parameters that traditionally were considered to be constant to fluctuate in a Markovian manner in line with empirical findings. We study diffusion processes of Ornstein-Uhlenbeck type where the drift and diffusion coefficients $a$ and $b$ are functions of a Markov process with a stationary distribution $pi$ on a countable state space. Exact long time behavior is determined for the three regimes corresponding to the expected drift: $E_{pi}a(cdot)>0,=0,<0$, respectively. Alongside we provide exact time limit results for integrals of form $in{t}_0^t{b}^2(X_s)e^{-2in{t}_s^{t}a(X_r)dr}ds$ for the three different regimes. Finally, we demonstrate natural applications of the findings in terms of Cox-Ingersoll-Ross diffusion and deterministic SIS epidemic models in Markovian environments. Exact long time behaviors are naturally expressed in terms of solutions to the well-studied fixed-point equation in law $Xstackreld=AX+B$ with $Xindep(A,B)$.

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Cited in

(7)

• Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory
• Kac-Ornstein-Uhlenbeck processes: stationary distributions and exponential functionals
• Long time behavior of diffusions with Markov switching
• Long-time behavior of Lévy-driven Ornstein-Uhlenbeck processes with regime switching
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