Linear diffusion with stationary switching regime

DOI10.1051/PS:2003017MaRDI QIDQ4452119zbMATH OpenOpenAlexFDO

Authors Xavier Guyon, Serge Iovleff, 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, https://eudml.org/doc/244728

zbMATH Keywords

ergodicityexistence of momentsjump processMarkov switchingOrnstein-Uhlenbeck diffusionrandom difference equations

Mathematics Subject Classification ID

Diffusion processes (60J60)

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Analysis of time series subject to changes in regime
• Controllability, stabilizability, and continuous-time Markovian jump linear quadratic control
• Ergodicity of Autoregressive Processes with Markov-Switching and Consistency of the Maximum-Likelihood Estimator
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 3223982 (Why is no real title available?)
• Matrix Analysis
• On stability of nonlinear AR processes with Markov switching
• Specification testing in Markov-switching time-series models
• Stability of a random diffusion with linear drift
• STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS
• Stochastic differential equations. An introduction with applications.
• Stochastic processes and reliability of systems
• Strict stationarity of generalized autoregressive processes
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients

Cited in

(14)

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

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