Ergodicity of one-dimensional regime-switching diffusion processes |
| |
Authors: | JingHai Shao |
| |
Affiliation: | 1. School of Mathematical Sciences, Beijing Normal University, Beijing, 100875, China
|
| |
Abstract: | ![]() In this work, for a one-dimensional regime-switching diffusion process, we show that when it is positive recurrent, then there exists a stationary distribution, and when it is null recurrent, then there exists an invariant measure. We also provide the explicit representation of the stationary distribution and invariant measure based on the hitting times of the process. |
| |
Keywords: | regime-switching diffusion ergodicity positive recurrence renewal theorem |
本文献已被 CNKI SpringerLink 等数据库收录! |
|