Criteria for transience and recurrence of regime-switching diffusion processes

Jinghai Shao

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arXiv · 1403.3135

Criteria for transience and recurrence of regime-switching diffusion processes

Jinghai Shao

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Abstract

We provide some on-off type criteria for recurrence and transience of regime-switching diffusion processes using the theory of M-matrix and the Perron-Frobenius theorem. State-independent and state-dependent regime-switching diffusion processes in a finite space and a countable space are both studied. We put forward a finite partition method to deal with switching process in a countable space. As an application, we improve the known criteria for recurrence of linear regime-switching diffusion processes, and provide an on-off type criterion for a kind of nonlinear regime-switching diffusion processes.

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Jinghai Shao. 2014-03-13. Criteria for transience and recurrence of regime-switching diffusion processes. https://arxiv.org/abs/1403.3135

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