Tail of a linear diffusion with Markov switching

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

zbMATH Keywords

renewal theoryladder heightsheavy taillight tailPerron-Frobenius theoryrandom difference equationOrnstein-Uhlenbeck diffusion

Mathematics Subject Classification ID

Random operators and equations (aspects of stochastic analysis) (60H25) Diffusion processes (60J60) Renewal theory (60K05)

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Cites Work

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• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Matrix Analysis
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Markov Chains
• Linear diffusion with stationary switching regime
• Lévy-driven CARMA processes

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