Recurrence and Ergodicity for A Class of Regime-Switching Jump Diffusions

Xiaoshan Chen; Zhen Qing Chen; Ky Tran; George Yin

doi:10.1007/s00245-017-9470-9

Recurrence and Ergodicity for A Class of Regime-Switching Jump Diffusions

Xiaoshan Chen, Zhen Qing Chen, Ky Tran, George Yin^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

15 Citations (Scopus)

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.

Original language	English
Pages (from-to)	415-445
Number of pages	31
Journal	Applied Mathematics and Optimization
Volume	80
Issue number	2
DOIs	https://doi.org/10.1007/s00245-017-9470-9
Publication status	Published - 1 Oct 2019
Externally published	Yes

Keywords

Ergodicity
Positive recurrence
Recurrence
Regularity
Switching jump diffusion

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10.1007/s00245-017-9470-9

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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.",

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Y1 - 2019/10/1

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AB - 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.

KW - Ergodicity

KW - Positive recurrence

KW - Recurrence

KW - Regularity

KW - Switching jump diffusion

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ER -

Recurrence and Ergodicity for A Class of Regime-Switching Jump Diffusions

Abstract

Keywords

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