Ergodicity of one-dimensional regime-switching diffusion processes

DOI10.1007/s11425-014-4853-8zbMath1360.60153MaRDI QIDQ487511

Jing Hai 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

ergodicity; positive recurrence; renewal theorem; regime-switching diffusion

Mathematics Subject Classification ID

60J10: Markov chains (discrete-time Markov processes on discrete state spaces)

60J60: Diffusion processes

60B10: Convergence of probability measures

Related Items

Permanence and Extinction of Regime-Switching Predator-Prey Models, Ergodicity and first passage probability of regime-switching geometric Brownian motions, Variational formula for the stability of regime-switching diffusion processes, The dynamics of stochastic mono-molecular reaction systems in stochastic environments, Exponential ergodicity for regime-switching diffusion processes in total variation norm, Exact long time behavior of some regime switching stochastic processes, Stability of regime-switching processes under perturbation of transition rate matrices

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Convergence of stochastic gene networks to hybrid piecewise deterministic processes
• Quantitative ergodicity for some switched dynamical systems
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Hybrid switching diffusions. Properties and applications
• Some remarks and examples concerning the transience and recurrence of random diffusions
• Stability of stochastic differential equations with Markovian switching
• Potential theory for elliptic systems
• Exponential ergodicity for Markov processes with random switching
• Strong ergodicity of the regime-switching diffusion processes
• Transience/recurrence and central limit theorem behavior for diffusions in random temporal environments
• Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
• Stability of Markovian processes I: criteria for discrete-time Chains
• Information and option pricings
• Closed-Form Solutions for Perpetual American Put Options with Regime Switching
• Quantitative Estimates for the Long-Time Behavior of an Ergodic Variant of the Telegraph Process
• Stochastic Differential Equations with Markovian Switching
• Contributions to the Theory of Markov Chains. II