Ergodicity of one-dimensional regime-switching diffusion processes

DOI10.1007/S11425-014-4853-8MaRDI QIDQ487511zbMATH OpenOpenAlexFDO

Authors Jinghai Shao

Publication date 22 January 2015

Published in Science China. Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11425-014-4853-8

zbMATH Keywords

ergodicitypositive recurrencerenewal theoremregime-switching diffusion

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Diffusion processes (60J60)

Recommendations

• Recurrence and ergodicity for A class of regime-switching jump diffusions
• Strong ergodicity of the regime-switching diffusion processes
• On subgeometric ergodicity of regime-switching diffusion processes
• On invariant probability measures of regime-switching diffusion processes with singular drifts
• Exponential ergodicity for regime-switching diffusion processes in total variation norm

Cites work

• scientific article; zbMATH DE number 3126031 (Why is no real title available?)
• scientific article; zbMATH DE number 3146376 (Why is no real title available?)
• scientific article; zbMATH DE number 2133327 (Why is no real title available?)
• Closed-Form Solutions for Perpetual American Put Options with Regime Switching
• Contributions to the Theory of Markov Chains. II
• Convergence of stochastic gene networks to hybrid piecewise deterministic processes
• Exponential ergodicity for Markov processes with random switching
• Hybrid switching diffusions. Properties and applications
• Information and option pricings
• Potential theory for elliptic systems
• Quantitative ergodicity for some switched dynamical systems
• Quantitative estimates for the long-time behavior of an ergodic variant of the telegraph process
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Some remarks and examples concerning the transience and recurrence of random diffusions
• Stability of Markovian processes I: criteria for discrete-time Chains
• Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
• Stability of stochastic differential equations with Markovian switching
• Stochastic Differential Equations with Markovian Switching
• Strong ergodicity of the regime-switching diffusion processes
• Transience/recurrence and central limit theorem behavior for diffusions in random temporal environments

Cited in

(11)

• Permanence and extinction of regime-switching predator-prey models
• Ergodicity of one-dimensional Brusselator models
• Stability of regime-switching processes under perturbation of transition rate matrices
• The dynamics of stochastic mono-molecular reaction systems in stochastic environments
• Ergodicity and first passage probability of regime-switching geometric Brownian motions
• Recurrence and ergodicity for A class of regime-switching jump diffusions
• Variational formula for the stability of regime-switching diffusion processes
• Exact long time behavior of some regime switching stochastic processes
• Exponential ergodicity for regime-switching diffusion processes in total variation norm
• Strong ergodicity of the regime-switching diffusion processes
• Ergodic theorems for transient one-dimensional diffusions

This page was built for publication: Ergodicity of one-dimensional regime-switching diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q487511)