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

被引：0
|
作者：
Xiaoshan Chen
Zhen-Qing Chen
Ky Tran
George Yin
机构：
[1] South China Normal University,School of Mathematical Sciences
[2] University of Washington,Departments of Mathematics
[3] Hue University,Department of Mathematics, College of Education
[4] Wayne State University,Department of Mathematics
来源：
Applied Mathematics & Optimization | 2019年 / 80卷
关键词：
Switching jump diffusion; Regularity; Recurrence; Positive recurrence; Ergodicity; 60J60; 60J75; 60G51;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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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页码：415 / 445
页数：30
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