Invariance principle of regime-switching diffusions

MaRDI QIDQ3094153zbMATH OpenFDO

Authors Chao Zhu, G. Yin

Publication date 21 October 2011

Full work available at URL http://ebooks.worldscinet.com/ISBN/9789814355711/9789814355711_0003.html

zbMATH Keywords

invariance theoremMarkov chainswitching diffusion

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Diffusion processes (60J60)

Recommendations

• Invariant Measures and Euler--Maruyama's Approximations of State-Dependent Regime-Switching Diffusions
• Convergence of switching diffusions
• Stability of regime-switching diffusions
• Properties of switching jump diffusions: maximum principles and Harnack inequalities
• Strong invariance for switching diffusions

Cited in

(3)

• Certain properties related to well posedness of switching diffusions
• Strong invariance for switching diffusions
• Invariant Measures and Euler--Maruyama's Approximations of State-Dependent Regime-Switching Diffusions

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