Tail of a linear diffusion with Markov switching

DOI10.1016/J.CRMA.2004.09.022MaRDI QIDQ5916118zbMATH OpenOpenAlexFDO

Authors 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)

Review text

This paper deals with an Ornstein-Uhlenbeck diffusion \(Y\) governed by a stationary and ergodic Markov jump process \(X\), i.e. \(dY_t=a(X_t)Y_tdt+\sigma(X_t)\,dW_t\), \(Y_0=y_0\). Ergodicity conditions for \(Y\) have been obtained. They also investigate the tail property of the stationary distribution of this model. A characterisation of the only two possible cases is established: light tail or polynomial tail. The method of investigation is based on discretizations and renewal theory.

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Cites work

• Implicit renewal theory and tails of solutions of random equations
• Linear diffusion with stationary switching regime
• 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

Cited in

(9)

• The tail behavior of jump-diffusion Cox-Ingersoll-Ross processes with regime-switching
• Heavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching
• Long time behavior of diffusions with Markov switching
• Tails of the first hitting times of linear diffusions
• Linear diffusion with stationary switching regime
• The stationary distribution of Ornstein-Uhlenbeck process with a two-state Markov switching
• Tail of the stationary solution of the stochastic equation \(Y_{n+1}=a_{n} Y_{n}+b_{n}\) with Markovian coefficients
• Tail of the stationary solution of the stochastic equation \(Y_{n+1}=a_{n} Y_{n}+b_{n}\) with Markovian coefficients
• Tail of a linear diffusion with Markov switching

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