Tail of a linear diffusion with Markov switching

DOI10.1016/j.crma.2004.09.022zbMath1061.60081OpenAlexW4246136162MaRDI QIDQ5916118

Benoîte De Saporta, Jian-feng Yao

Publication date: 22 February 2005

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/132622

zbMATH Keywords

Ornstein-Uhlenbeck diffusionstationary and ergodic jump process

Mathematics Subject Classification ID

Diffusion processes (60J60)

Cites Work

• Implicit renewal theory and tails of solutions of random equations
• Random difference equations and renewal theory for products of random matrices
• Renewal theorem for a system of renewal equations
• Stability of a random diffusion with linear drift
• Linear diffusion with stationary switching regime