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Positive recurrence of a solution of an SDE with variable switching intensities

Stochastics and Partial Differential Equations: Analysis and Computations. 2022. Vol. 10. P. 1165–1179.
Veretennikov A.

Positive recurrence of a $d$-dimensional diffusion with an additive Wiener process, with switching and with one recurrent and one transient regimes and variable switching intensities is established under suitable conditions. The approach is based on embedded Markov chains.

 

Research target: Mathematics
Language: English
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Keywords: diffusionдиффузияpositive recurrenceswitchingпереключениеположительная возвратностьvariable switching intensitiesпеременные интенсивности переключения
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