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arXiv · 2610.41515

Invariant probability measures for path-dependent regime-switching processes

Jianrui Li·Jinghai Shao
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Abstract

We consider stochastic functional differential equations with Markovian regime?switching on an (infinitely) countable state space. Via establishing the Feller prop?erty and contraction in L1-Wasserstein distance of the semigroup associated with the segment process, we show the existence and uniqueness of invariant probability measure. In order to cope with switching processes on an infinite state space, we de?velop a truncation method based on a new construction of order preserving coupling for Markov chains to generalize the estimation of exponential functionals for Markov chains with infinite states. The existing sharp estimation is only valid for Markov chains on a finite state space, as it fundamentally relies on the Perron-Frobenius theorem.

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Jianrui Li, Jinghai Shao. 2026-10-30. Invariant probability measures for path-dependent regime-switching processes. https://arxiv.org/abs/2610.41515

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