Recurrence and Ergodicity for A Class of Regime-Switching Jump Diffusions
Probability
2018-10-02 v1
Abstract
This work develops asymptotic properties of a class of switching jump diffusion processes. The processes under consideration may be viewed as a number of jump diffusion processes modulated by a random switching mechanism. The underlying processes feature in the switching process depends on the jump diffusions. In this paper, conditions for recurrence and positive recurrence are derived. Ergodicity is examined in detail. Existence of invariant probability measures is proved.
Keywords
Cite
@article{arxiv.1810.00311,
title = {Recurrence and Ergodicity for A Class of Regime-Switching Jump Diffusions},
author = {Xiaoshan Chen and Zhen-Qing Chen and Ky Tran and George Yin},
journal= {arXiv preprint arXiv:1810.00311},
year = {2018}
}
Comments
To appear in Applied Mathematics and Optimization