Tail of a linear diffusion with Markov switching
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Publication:5970344
DOI10.1214/105051604000000828zbMath1064.60174arXivmath/0503527MaRDI QIDQ5970344
Jiang-Feng Yao, Benoîte De Saporta
Publication date: 29 April 2005
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0503527
renewal theoryladder heightsheavy taillight tailPerron-Frobenius theoryrandom difference equationOrnstein-Uhlenbeck diffusion
Random operators and equations (aspects of stochastic analysis) (60H25) Diffusion processes (60J60) Renewal theory (60K05)
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