Related papers: Recurrence and Ergodicity for A Class of Regime-Sw…
This work focuses on recurrence and ergodicity of switching diffusions consisting of continuous and discrete components, in which the discrete component takes values in a countably infinite set and the rates of switching at current time…
This work focuses on a class of regime-switching jump diffusion processes, in which the switching component has countably infinite many states or regimes. The existence and uniqueness of the underlying process are obtained by an interlacing…
In this article, we discuss subgeometric ergodicity of a class of regime-switching diffusion processes. We derive conditions on the drift and diffusion coefficients, and the switching mechanism which result in subgeometric ergodicity of the…
In this paper, we introduce a new class of processes which are diffusions with jumps driven by a multivariate nonlinear Hawkes process. Our goal is to study their long-time behavior. In the case of exponential memory kernels for the…
In the present work, we explore homogenization techniques for a class of switching diffusion processes whose drift and diffusion coefficients, and jump intensities are smooth, spatially periodic functions; we assume full coupling between…
This work focuses on a class of stochastic Hamiltonian type jump diffusion systems with state-dependent switching, in which the switching component has countably infinite many states. First,the existence and uniqueness of the underlying…
This work focuses on a class of regime-switching jump diffusion processes with a countably infinite state space for the discrete component. Such processes can be used to model complex hybrid systems in which both structural changes, small…
This work studies a class of switching diffusion systems where the switching component takes values in a countable state space and its transition rates depend on the history of the continuous component. Under suitable conditions, we…
For regime-switching diffusions processes with singular drifts, we introduce integrability conditions involving a nice reference probability measure and the $Q$-matrix of the jump part to study the existence of the invariant probability…
Affine jump-diffusions constitute a large class of continuous-time stochastic models that are particularly popular in finance and economics due to their analytical tractability. Methods for parameter estimation for such processes require…
In this article, we discuss ergodicity properties of a diffusion process given through an It\^{o} stochastic differential equation. We identify conditions on the drift and diffusion coefficients which result in sub-geometric ergodicity of…
In this paper, we are interested in conditional McKean-Vlasov jump diffusions, which are also termed as McKean-Vlasov stochastic differential equations with jump idiosyncratic noise and jump common noise. As far as conditional McKean-Vlasov…
The purpose of this paper is to investigate the long time behaviour for a self-interacting diffusion and a self-interacting velocity jump process. While the diffusion case has already been studied for some particular potential function, the…
This work examines a class of switching jump diffusion processes. The main effort is devoted to proving the maximum principle and obtaining the Harnack inequalities. Compared with the diffusions and switching diffusions, the associated…
Consider a simple random walk on the integers with the following transition mechanism. At each site $x$, the probability of jumping to the right is $\omega(x)\in[\frac12,1)$, until the first time the process jumps to the left from site $x$,…
We obtain explicit criteria for both exponential ergodicity and strong ergodicity for one-dimensional time-changed symmetric stable processes with $\alpha\in(1,2)$. Explicit lower bounds for ergodic convergence rates are given.
We introduce a class of discrete random walk model driven by global memory effects. At any time the right-left transitions depend on the whole previous history of the walker, being defined by an urn-like memory mechanism. The characteristic…
Asymptotic properties, both consistency and weak convergence, of estimators arising in a general class of dynamic recurrent event models are presented. The class of models take into account the impact of interventions after each event…
We consider reversible random walks in random environment obtained from symmetric long--range jump rates on a random point process. We prove almost sure transience and recurrence results under suitable assumptions on the point process and…
Motivated by networked systems, stochastic control, optimization, and a wide variety of applications, this work is devoted to systems of switching jump diffusions. Treating such nonlinear systems, we focus on stability issues. First…