Subexponential ergodicity of regime-switching diffusion processes

In this paper, we study a class of regime-switching diffusion processes in which the continuous part is the 解 of a stochastic differential equation and the discrete part is a pure jump process. Under suitable 条件, the open-set irreducibility and aperiodicity of regime-switching diffusion processes are considered. Then, based on these two properties, we prove that the probability transfer function of regime-switching diffusion processes converges to a unique invariant probability measure at subexponential rates. Finally, the exponential ergodicity of regime-switching diffusion processes is obtained by slightly modifying the 条件 of subexponential ergodicity.

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Publication Details

Journal
Scientia Sinica Mathematica
Published
2025-02-28
DOI
https://doi.org/10.1360/ssm-2024-0290
Primary Topic
stochastic dynamics and bifurcation
Type
article
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article

Subexponential ergodicity of regime-switching diffusion processes

Jun Li, Fubao Xi
Scientia Sinica Mathematica
stochastic dynamics and bifurcation
article

Subexponential ergodicity of regime-switching diffusion processes

Jun Li, Fubao Xi
article en

Abstract

In this paper, we study a class of regime-switching diffusion processes in which the continuous part is the 解 of a stochastic differential equation and the discrete part is a pure jump process. Under suitable 条件, the open-set irreducibility and aperiodicity of regime-switching diffusion processes are considered. Then, based on these two properties, we prove that the probability transfer function of regime-switching diffusion processes converges to a unique invariant probability measure at subexponential rates. Finally, the exponential ergodicity of regime-switching diffusion processes is obtained by slightly modifying the 条件 of subexponential ergodicity.

Scientia Sinica MathematicaVol. 55(7)
Openalex Percentile: Top 97%
stochastic dynamics and bifurcation
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Subexponential ergodicity of regime-switching diffusion processes — Jun Li, Fubao Xi · Scientia Sinica Mathematica (2025) | TGRS Research Map | TGRS