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On invariant probability measures of regime-switching diffusion processes with singular drifts

Probability 2018-11-29 v2

Abstract

For regime-switching diffusions processes with singular drifts, we introduce integrability conditions involving a nice reference probability measure and the QQ-matrix of the jump part to study the existence of the invariant probability measures. Consequently, the generator of the regime-switching diffusions process has an extension in the L1L^1-space w.r.t the invariant probability measure to be a generator of C0C_0-semigroup. Moreover, we prove the uniqueness of the extension. Regularities and the uniqueness of the invariant probability density w.r.t the nice reference probability measure are also considered.

Keywords

Cite

@article{arxiv.1807.00363,
  title  = {On invariant probability measures of regime-switching diffusion processes with singular drifts},
  author = {Shao-Qin Zhang},
  journal= {arXiv preprint arXiv:1807.00363},
  year   = {2018}
}

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30 pages