Exponential ergodicity for Markov processes with random switching

DOI10.3150/13-BEJ577zbMath1330.60094arXiv1303.6999OpenAlexW3105711964WikidataQ56894130 ScholiaQ56894130MaRDI QIDQ2345131

Bertrand Cloez, Martin Hairer

Publication date: 19 May 2015

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.6999

zbMATH Keywords

ergodicityswitchingWasserstein distancepiecewise deterministic Markov processexponential mixing

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Continuous-time Markov processes on discrete state spaces (60J27) Limit theorems in probability theory (60F99)

Related Items

Stationary distribution of stochastic population dynamics in state-dependent random environments, Dynamic behavior of a stochastic predator-prey system under regime switching, Approximation of invariant measures for regime-switching diffusions, On the martingale problem and Feller and strong Feller properties for weakly coupled Lévy type operators, Moment bounds and geometric ergodicity of diffusions with random switching and unbounded transition rates, Variational formula for the stability of regime-switching diffusion processes, Quantitative contraction rates for Markov chains on general state spaces, Gradient flows and randomised thresholding: sparse inversion and classification*, Regularity of invariant densities for 1D systems with random switching, On Foster–Lyapunov criteria for exponential ergodicity of regime-switching jump diffusion processes with countable regimes, The central limit theorem for random dynamical systems, A user-friendly condition for exponential ergodicity in randomly switched environments, Exponential ergodicity for regime-switching diffusion processes in total variation norm, A note on ergodicity for CIR model with Markov switching, Existence, uniqueness and exponential ergodicity under Lyapunov conditions for McKean-Vlasov SDEs with Markovian switching, Ergodicity and transience of SDEs driven by -stable processes with Markovian switching, Strong Solutions and Strong Feller Properties for Regime-Switching Diffusion Processes in An Infinite State Space, Stochastic Switching in Infinite Dimensions with Applications to Random Parabolic PDE, A general view on double limits in differential equations, Lower bound for the coarse Ricci curvature of continuous-time pure-jump processes, Ergodicity of Regime-Switching Functional Diffusions with Infinite Delay and Application to a Numerical Algorithm for Stochastic Optimization, The central limit theorem for Markov processes that are exponentially ergodic in the bounded-Lipschitz norm, \(V\)-uniform ergodicity for fluid queues, Harnack type inequalities for SDEs driven by fractional Brownian motion with Markovian switching, Jump locations of jump-diffusion processes with state-dependent rates, Random periodic solutions for a class of hybrid stochastic differential equations, Using Stein's method to analyze Euler-Maruyama approximations of regime-switching jump diffusion processes, Invariant probability measures for path-dependent random diffusions, On the monotonicity property of the generalized eigenvalue for weakly-coupled cooperative elliptic systems, Random‐like properties of chaotic forcing, Exponential ergodicity for stochastic functional differential equations with Markovian switching, Ergodicity and stability of hybrid systems with piecewise constant type state-dependent switching, Optimal Control of Markov-Modulated Multiclass Many-Server Queues, Exact long time behavior of some regime switching stochastic processes, Stabilization of Regime-Switching Processes by Feedback Control Based on Discrete Time Observations, Probabilistic and Piecewise Deterministic models in Biology, 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, 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, Ergodicity of one-dimensional regime-switching diffusion processes, Random evolution equations: well-posedness, asymptotics, and applications to graphs, Random switching between vector fields having a common zero, Smooth invariant densities for random switching on the torus, Qualitative properties of certain piecewise deterministic Markov processes, Some characterizations for the CIR model with Markov switching, Fluctuations of the empirical measure of freezing Markov chains, Permanence and Extinction of Regime-Switching Predator-Prey Models, Large deviations of Markov chains with multiple time-scales, Continuous dependence for stochastic functional differential equations with state-dependent regime-switching on initial values, The dynamics of stochastic mono-molecular reaction systems in stochastic environments, Exponential ergodicity for SDEs driven by \(\alpha\)-stable processes with Markovian switching in Wasserstein distances, Stability of regime-switching processes under perturbation of transition rate matrices, Quantitative results for the Fleming-Viot particle system and quasi-stationary distributions in discrete space, Some simple but challenging Markov processes, Continuous dependence of an invariant measure on the jump rate of a piecewise-deterministic Markov process, Stability in Distribution of Path-Dependent Hybrid Diffusion, Geometric Ergodicity for Piecewise Contracting Processes with Applications for Tropical Stochastic Lattice Models, Convergence, boundedness, and ergodicity of regime-switching diffusion processes with infinite memory, Exponential ergodicity of CIR interest rate model with random switching, Exponential ergodicity in the bounded-Lipschitz distance for some piecewise-deterministic Markov processes with random switching between flows, Analysis of stochastic gradient descent in continuous time, Ergodic properties of some piecewise-deterministic Markov process with application to gene expression modelling, Asymptotic behavior of SIRS models in state-dependent random environments, Randomly switching evolution equations, On invariant probability measures of regime-switching diffusion processes with singular drifts, Densities for piecewise deterministic Markov processes with boundary, Extreme first passage times of piecewise deterministic Markov processes, Stationary distributions and convergence for Walsh diffusions, A Central Limit Theorem for punctuated equilibrium, Decay rates for stabilization of linear continuous-time systems with random switching, The e-property of asymptotically stable Markov–Feller operators, On subgeometric ergodicity of regime-switching diffusion processes, Positive recurrence of a solution of an SDE with variable switching intensities, Cut-off Phenomenon for Converging Processes in the Sense of α-Divergence Measures, On Feller and Strong Feller Properties and Exponential Ergodicity of Regime-Switching Jump Diffusion Processes with Countable Regimes, Stability of Fractional SDEs with Markov Switching Perturbed by Transition Rate Matrices, Semi-parametric inference for the absorption features of a growth-fragmentation model, Stochastic Gradient MCMC for State Space Models

Cites Work

• Unnamed Item
• Total variation estimates for the TCP process
• Asymptotic expansion and central limit theorem for multiscale piecewise-deterministic Markov processes
• Spectral gaps for a Metropolis-Hastings algorithm in infinite dimensions
• Qualitative properties of certain piecewise deterministic Markov processes
• A new Poisson-type deviation inequality for Markov jump processes with positive Wasserstein curvature
• Reflection coupling and Wasserstein contractivity without convexity
• On Malliavin's proof of Hörmander's theorem
• Convergence of stochastic gene networks to hybrid piecewise deterministic processes
• Asymptotic coupling and a general form of Harris' theorem with applications to stochastic delay equations
• Quantitative ergodicity for some switched dynamical systems
• Ricci curvature of Markov chains on metric spaces
• Intertwining and commutation relations for birth-death processes
• On the stability of planar randomly switched systems
• Poisson-type deviation inequalities for curved continuous-time Markov chains
• Spectral gaps in Wasserstein distances and the 2D stochastic Navier-Stokes equations
• Stochastic Models for a Chemostat and Long-Time Behavior
• Long time behavior of diffusions with Markov switching
• Yet Another Look at Harris’ Ergodic Theorem for Markov Chains
• Transport inequalities, gradient estimates, entropy and Ricci curvature
• Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
• Invariant densities for dynamical systems with random switching
• Averaging for a Fully Coupled Piecewise-Deterministic Markov Process in Infinite Dimensions
• A simple framework to justify linear response theory
• Stability and Ergodicity of Piecewise Deterministic Markov Processes
• Iterated Random Functions
• Linear diffusion with stationary switching regime
• ON/OFF STORAGE SYSTEMS WITH STATE-DEPENDENT INPUT, OUTPUT, AND SWITCHING RATES
• Perpetuities with thin tails
• Quantitative Estimates for the Long-Time Behavior of an Ergodic Variant of the Telegraph Process
• Necessary Conditions for Almost Sure Extinction of a Branching Process with Random Environment
• Optimal Transport
• Tail of a linear diffusion with Markov switching