Article ID Journal Published Year Pages File Type
1155558 Stochastic Processes and their Applications 2015 20 Pages PDF
Abstract

Based on the theory of MM-matrix and Perron–Frobenius theorem, we provide some criteria to justify the convergence of the regime-switching diffusion processes in Wasserstein distances. The cost function we used to define the Wasserstein distance is not necessarily bounded. The continuous time Markov chains with finite and infinite countable state space are all studied. To deal with the infinite countable state space, we put forward a finite partition method. The boundedness for state-dependent regime-switching diffusions in an infinite countable state space is also studied.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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