کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1156610 958849 2013 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Strong ergodicity of the regime-switching diffusion processes
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Strong ergodicity of the regime-switching diffusion processes
چکیده انگلیسی

We provide criteria for the strong ergodicity of regime-switching diffusion processes. Our conditions are imposed on the coefficients of the processes. Particularly, we show that for regime-switching diffusions on the half line, if the corresponding diffusion on each fixed environment is strongly ergodic, then the regime-switching diffusion is strongly ergodic as well, which does not depend on the changing rate of the environment. Moreover, the converse is not always true, which is shown by an example. For transience, recurrence and positive recurrence, there is no such good consistency [R. Pinsky and M. Scheutzow, Some remarks and examples concerning the transience and recurrence of random diffusions, Ann. Inst. Henri. Poincaré 28 (1992) 519–536].

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 123, Issue 11, November 2013, Pages 3903–3918
نویسندگان
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