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 -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 -space w.r.t the invariant probability measure to be a generator of -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}
}
Comments
30 pages