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 journalArticlepeer-review

14 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 languageEnglish
Pages (from-to)415-445
Number of pages31
JournalApplied Mathematics and Optimization
Volume80
Issue number2
DOIs
Publication statusPublished - 1 Oct 2019
Externally publishedYes

Keywords

  • Ergodicity
  • Positive recurrence
  • Recurrence
  • Regularity
  • Switching jump diffusion

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