Markov-modulated Ornstein-Uhlenbeck processes

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17) Martingales with continuous parameter (60G44) Continuous-time Markov processes on discrete state spaces (60J27)

Abstract: In this paper we consider an Ornstein-Uhlenbeck (OU) process

(M (t))_{t g e q s l a n t 0}

whose parameters are determined by an external Markov process

(X (t))_{t g e q s l a n t 0}

on a finite state space

1, l d o t s, d

; this process is usually referred to as Markov-modulated Ornstein-Uhlenbeck (MMOU). We use stochastic integration theory to determine explicit expressions for the mean and variance of

M (t)

. Then we establish a system of partial differential equations (PDEs) for the Laplace transform of

M (t)

and the state

X (t)

of the background process, jointly for time epochs

t = t_{1}, l d o t s, t_{K} .

Then we use this PDE to set up a recursion that yields all moments of

M (t)

and its stationary counterpart; we also find an expression for the covariance between

M (t)

and

M (t + u)

. We then establish a functional central limit theorem for

M (t)

for the situation that certain parameters of the underlying OU processes are scaled, in combination with the modulating Markov process being accelerated; interestingly, specific scalings lead to drastically different limiting processes. We conclude the paper by considering the situation of a single Markov process modulating multiple OU processes.

Recommendations

Cites work

Cited in

(15)

This page was built for publication: Markov-modulated Ornstein-Uhlenbeck processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2806355)