Ergodicity of regime-switching diffusions in Wasserstein distances

DOI10.1016/j.spa.2014.10.007zbMath1322.60165arXiv1403.0291OpenAlexW2963782099MaRDI QIDQ2512854

Jing Hai Shao

Publication date: 30 January 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.0291

zbMATH Keywords

\(M\)-matrixergodicitycontinuous-time Markov chainsoptimal couplingsWasserstein distancePerron-Frobenius theoremregime-switching diffusions

Mathematics Subject Classification ID

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

Related Items (32)

Approximation of invariant measures for regime-switching diffusions ⋮ Ergodicity and first passage probability of regime-switching geometric Brownian motions ⋮ Moment bounds and geometric ergodicity of diffusions with random switching and unbounded transition rates ⋮ Variational formula for the stability of regime-switching diffusion processes ⋮ The stochastic \(\theta\) method for stationary distribution of stochastic differential equations with Markovian switching ⋮ Explicit approximations for nonlinear switching diffusion systems in finite and infinite horizons ⋮ On Foster–Lyapunov criteria for exponential ergodicity of regime-switching jump diffusion processes with countable regimes ⋮ Exponential ergodicity for regime-switching diffusion processes in total variation norm ⋮ Certain properties related to well posedness of switching diffusions ⋮ Existence, uniqueness and exponential ergodicity under Lyapunov conditions for McKean-Vlasov SDEs with Markovian switching ⋮ Strong Solutions and Strong Feller Properties for Regime-Switching Diffusion Processes in An Infinite State Space ⋮ Ergodicity of Regime-Switching Functional Diffusions with Infinite Delay and Application to a Numerical Algorithm for Stochastic Optimization ⋮ 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 ⋮ Exponential ergodicity for stochastic functional differential equations with Markovian switching ⋮ Ergodicity and stability of hybrid systems with piecewise constant type state-dependent switching ⋮ Heavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching ⋮ Exact long time behavior of some regime switching stochastic processes ⋮ Invariant Measures and Euler--Maruyama's Approximations of State-Dependent Regime-Switching Diffusions ⋮ Stabilization of Regime-Switching Processes by Feedback Control Based on Discrete Time Observations II: State-Dependent Case ⋮ Permanence and Extinction of Regime-Switching Predator-Prey Models ⋮ The Numerical Invariant Measure of Stochastic Differential Equations With Markovian Switching ⋮ 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 ⋮ Some simple but challenging Markov processes ⋮ Regime-switching diffusion processes: strong solutions and strong Feller property ⋮ Stability in Distribution of Path-Dependent Hybrid Diffusion ⋮ Convergence, boundedness, and ergodicity of regime-switching diffusion processes with infinite memory ⋮ On Feller and strong Feller properties and irreducibility of regime-switching jump diffusion processes with countable regimes ⋮ On subgeometric ergodicity of regime-switching diffusion processes

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