Regularity and recurrence of switching diffusions

DOI10.1007/S11424-007-9024-3MaRDI QIDQ2461353zbMATH OpenOpenAlexFDO

Authors George Yin, Chao Zhu

Publication date 27 November 2007

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11424-007-9024-3

zbMATH Keywords

regularityrecurrenceswitching diffusion

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Lyapunov and storage functions (93D30) Stochastic systems in control theory (general) (93E03) Stochastic stability in control theory (93E15)

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Cites work

• scientific article; zbMATH DE number 3602431 (Why is no real title available?)
• Asymptotic properties of parabolic systems for null-recurrent switching diffusions
• Ergodic Control of Switching Diffusions
• Liapunov criteria for weak stochastic stability
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• On Averaging Principles: An Asymptotic Expansion Approach
• On the notion of weak stability and related issues of hybrid diffusion systems
• Regime Switching Stochastic Approximation Algorithms with Application to Adaptive Discrete Stochastic Optimization
• Stability of regime-switching diffusions
• Stability of stochastic differential equations with Markovian switching
• Weak Convergence of Hybrid Filtering Problems Involving Nearly Completely Decomposable Hidden Markov Chains

Cited in

(15)

• Asymptotic properties of parabolic systems for null-recurrent switching diffusions
• Criteria for transience and recurrence of regime-switching diffusion processes
• Recurrence for switching diffusion with past dependent switching and countable state space
• On strong Feller, recurrence, and weak stabilization of regime-switching diffusions
• Recurrence and periodicity for stochastic differential equations with regime-switching jump diffusions
• On the stability of diffusion processes with state-dependent switching
• Recurrence and ergodicity of switching diffusions with past-dependent switching having a countable state space
• On higher order moments and recurrence of an SDE with switching
• Recurrence and ergodicity for A class of regime-switching jump diffusions
• Stability and recurrence of regime-switching diffusion processes
• Asymptotic Properties of Hybrid Diffusion Systems
• Strong invariance for switching diffusions
• Asymptotic expansions of solutions for parabolic systems associated with transient switching diffusions
• Positive recurrence of a solution of an SDE with variable switching intensities
• Markovian switching of mutation rates in evolutionary network dynamics

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