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arXiv · 2111.00248

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

Alexander Veretennikov
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Abstract

Positive recurrence of a $d$-dimensional diffusion 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.

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Alexander Veretennikov. 2021-10-30. Positive recurrence of a solution of an SDE with variable switching intensities. https://doi.org/10.1007/s40072-022-00265-7

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