Strong invariance for switching diffusions

DOI10.3233/ASY-141265MaRDI QIDQ5261140zbMATH OpenOpenAlexFDO

Authors Hongwei Mei, George Yin

Publication date 1 July 2015

Published in Asymptotic Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3233/asy-141265

zbMATH Keywords

stationary distributionswitching diffusionslaw of iterated logarithms

Mathematics Subject Classification ID

Diffusion processes (60J60) Strong limit theorems (60F15)

Recommendations

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Cited in

(5)

• Strong invariance principle for singular diffusions.
• Iterative weak approximation and hard bounds for switching diffusion
• On higher order moments and recurrence of an SDE with switching
• Invariance principle of regime-switching diffusions
• Convergence and convergence rates for approximating ergodic means of functions of solutions to stochastic differential equations with Markov switching

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