Long time behavior of diffusions with Markov switching

MaRDI QIDQ2865815zbMATH OpenFDO

Authors Jean-Baptiste Bardet, Hélène Guérin, Florent Malrieu

Publication date 3 December 2013

Published in ALEA. Latin American Journal of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0912.3231, http://alea.impa.br/articles/v7/07-08.pdf

zbMATH Keywords

convergence to equilibriumheavy tailjump processLaplace transformlight tailMarkov switchingOrnstein-Uhlenbeck diffusionrandom difference equation

Mathematics Subject Classification ID

Random operators and equations (aspects of stochastic analysis) (60H25) Diffusion processes (60J60)

Abstract: Let $Y$ be an Ornstein-Uhlenbeck diffusion governed by an ergodic finite state Markov process $X$: $d{Y}_t=-lambda(X_t)Y_{t}dt+sigma(X_t)d{B}_t$, $Y_0$ given. Under ergodicity condition, we get quantitative estimates for the long time behavior of $Y$. We also establish a trichotomy for the tail of the stationary distribution of $Y$: it can be heavy (only some moments are finite), exponential-like (only some exponential moments are finite) or Gaussian-like (its Laplace transform is bounded below and above by Gaussian ones). The critical moments are characterized by the parameters of the model.

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Cited in

(47)

• Ergodicity and first passage probability of regime-switching geometric Brownian motions
• Variational formula for the stability of regime-switching diffusion processes
• Convergence, boundedness, and ergodicity of regime-switching diffusion processes with infinite memory
• Some characterizations for Brownian motion with Markov switching
• The tail behavior of jump-diffusion Cox-Ingersoll-Ross processes with regime-switching
• Harnack inequality and long time asymptotics of unbounded additive functionals of regime-switching diffusion processes
• The stochastic \(\theta\) method for stationary distribution of stochastic differential equations with Markovian switching
• Exponential ergodicity for regime-switching diffusion processes in total variation norm
• Mean escape time for randomly switching narrow gates in a steady flow
• Heavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching
• Exact long time behavior of some regime switching stochastic processes
• Stability of regime-switching processes under perturbation of transition rate matrices
• Stability of regime-switching jump diffusion processes
• Exponential ergodicity for Markov processes with random switching
• Moment bounds and geometric ergodicity of diffusions with random switching and unbounded transition rates
• Long time behaviour and stationary regime of memory gradient diffusions
• Ergodicity of regime-switching diffusions in Wasserstein distances
• Stability of stochastic functional differential equations with random switching and applications
• Invariant probability measures for path-dependent random diffusions
• Approximation of invariant measures for regime-switching diffusions
• Long time behavior of Markov processes
• Probabilistic and piecewise deterministic models in biology
• Stabilization of regime-switching processes by feedback control based on discrete time observations. II: State-dependent case
• Simple nonlinear models with rigorous extreme events and heavy tails
• Stability in distribution of path-dependent hybrid diffusion
• A note on ergodicity for CIR model with Markov switching
• Ergodicity of regime-switching functional diffusions with infinite delay and application to a numerical algorithm for stochastic optimization
• Long-time behavior of Lévy-driven Ornstein-Uhlenbeck processes with regime switching
• Delay feedback control for switching diffusion systems based on discrete-time observations
• Some characterizations for the CIR model with Markov switching
• Invariant Measures and Euler--Maruyama's Approximations of State-Dependent Regime-Switching Diffusions
• Necessary and sufficient conditions for ergodicity of CIR type SDEs with Markov switching
• The numerical invariant measure of stochastic differential equations with Markovian switching
• Stability of Fractional SDEs with Markov Switching Perturbed by Transition Rate Matrices
• Tail of a linear diffusion with Markov switching
• Tail of a linear diffusion with Markov switching
• Long time behaviour for population model by \(\alpha \)-stable processes with Markov switching
• Switched diffusion processes for non-convex optimization and saddle points search
• Harnack type inequalities for SDEs driven by fractional Brownian motion with Markovian switching
• Exponential ergodicity for stochastic functional differential equations with Markovian switching
• Ergodicity and stability of hybrid systems with piecewise constant type state-dependent switching
• Limit theorems of additive functionals for regime-switching diffusions with infinite delay
• Large population asymptotics for a multitype stochastic SIS epidemic model in randomly switching environment
• The Euler-Maruyama approximation of state-dependent regime switching diffusions
• Explicit criteria for recurrence of Markovian regime-switching diffusion processes under arbitrary switching rates
• Uniform Wasserstein convergence of penalized Markov processes
• The tail behavior of Cox-Ingersoll-Ross processes with state-dependent switching

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