arXiv subjects

Fubao Xi

Publications and source records attributed to Fubao Xi.

15 recordsLinked to original sources

arXiv2026

Ergodicity for regime-switching neutral stochastic functional differential equations with infinite delay

This work focuses on a class of regime-switching neutral stochastic functional differential equations (RNSFDEs) with infinite delay, in which the switching component can possess finite or countably infinite many states. To ensure the well-posedness of the underlying process, we first investigate the well-posedness for NSFDEs without Markovian switching under dissipativity conditions, and obtain the desired result by Skorohod's representation. By utilizing the moment estimate of exponential functionals of the switching component, we derive the exponential ergodicity in Wasserstein distance for RNSFDEs with a finite state space using the coupling method. To address the difficulty posed by the infinite state space, we obtain the same exponential ergodicity by applying the finite partition method along with Lyapunov functions and M-matrix theory.

math.PR↗

arXiv2025

Well-posedness and Feller property for functional stochastic Hamiltonian systems with singular coefficients and state-dependent switching

This work focuses on a class of functional stochastic Hamiltonian systems with singular coefficients and state-dependent switching, in which the switching process has a countably infinite state space. First, by Girsanov's transformation, we establish the martingale solution of the system in each fixed switching case. Then, since the two components of the system are intertwined and correlated, we investigate the special case when the discrete component is independent of the continuous component. Based on these results, we obtain the well-posedness of the system with the aid of a martingale process. Finally, in order to establish the Feller property, we take advantage of appropriate Radon-Nikodym derivative and introduce a vector valued elliptic equation to handle the effect of the singular coefficients.

math.PR↗

arXiv2025

Stochastic Hamiltonian Type Jump Diffusion Systems with Countable Regimes: Strong Feller Property and Exponential Ergodicity

This work focuses on a class of stochastic Hamiltonian type jump diffusion systems with state-dependent switching, in which the switching component has countably infinite many states. First,the existence and uniqueness of the underlying processes are obtained with the aid of successive construction methods. Then, the Feller property is established by coupling methods. Furthermore, the strong Feller property is proved by introducing some auxiliary processes and making use of appropriate Radon-Nikodym derivatives. Finally, on the basis of the above results, the exponential ergodicity is obtained under the Foster-Lyapunov drift condition.

math.PR↗

arXiv2025

Well-Posedness and Ergodicity of Functional Stochastic Partial Differential Equations with Markovian Switching

This work focuses on a class of semi-linear functional stochastic partial differential equations with Markovian switching, in which the switching component may have finite or countably infinite states. The well-posedness of the underlying process is obtained by Skorokhod's representation of the switching component. Then, the exponential mixing of such processes in a finite state space is derived by using the so-called remote start method proposed firstly by Prato and Zabczyk in [10]. Finally, the corresponding result in a countable infinite state space is further obtained via the finite partition method.

math.PR↗

arXiv2025

Switching Diffusion Systems with Past-Dependent Switching and Countable State Space: Successful Couplings and Strong Ergodicity

This work studies a class of switching diffusion systems where the switching component takes values in a countable state space and its transition rates depend on the history of the continuous component. Under suitable conditions, we construct a successful coupling that establishes stability of the underlying process in the total variation norm. The coupling approach also enables us to derive strong ergodicity for the underlying process. Finally, we illustrate the main results with an $N$-body mean-field model featuring past-dependent switching and a countable state space.

math.PR↗

arXiv2024

Large deviations for slow-fast processes on connected complete Riemannian manifolds

We consider a class of slow-fast processes on a connected complete Riemannian manifold $M$.The limiting dynamics as the scale separation goes to $\infty$ is governed by the averaging principle. Around this limit, we prove large deviation principles with an action-integral rate function for the slow process by nonlinear semigroup methods together with the Hamilton-Jacobi-Bellman equation techniques. The innovation is solving a comparison principle for viscosity solutions on $M$ and the existence of a viscosity solution via a control problem for a non-smooth Hamiltonian.

math.PR↗

arXiv2023

Large deviations for Cox-Ingersoll-Ross processes with state-dependent fast switching

We study the large deviations for Cox-Ingersoll-Ross (CIR) processes with small noise and state-dependent fast switching via associated Hamilton-Jacobi equations. As the separation of time scales, when the noise goes to $0$ and the rate of switching goes to $\infty$, we get a limit equation characterized by the averaging principle. Moreover, we prove the large deviation principle (LDP) with an action-integral form rate function to describe the asymptotic behavior of such systems. The new ingredient is establishing the comparison principle in the singular context. The proof is carried out using the nonlinear semigroup method coming from Feng and Kurtz's book.

math.PR↗

arXiv2022

On an Ergodic Two-Sided Singular Control Problem

Motivated by applications in natural resource management, risk management, and finance, this paper is focused on an ergodic two-sided singular control problem for a general one-dimensional diffusion process. The control is given by a bounded variation process. Under some mild conditions, the optimal reward value as well as an optimal control policy are derived by the vanishing discount method. Moreover, the Abelian and Cesàro limits are established. Then a direct solution approach is provided at the end of the paper.

math.OC↗

arXiv2020

On Strong Feller Property, Exponential Ergodicity and Large Deviations Principle for Stochastic Damping Hamiltonian Systems with State-Dependent Switching

This work focuses on a class of stochastic damping Hamiltonian systems with state-dependent switching, where the switching process has a countably infinite state space. After establishing the existence and uniqueness of a global weak solution via the martingale approach under very mild conditions, the paper next proves the strong Feller property for regime-switching stochastic damping Hamiltonian systems by the killing technique together with some resolvent and transition probability identities. The commonly used continuity assumption for the switching rates $q_{kl}(\cdot)$ in the literature is relaxed to measurability in this paper. Finally the paper provides sufficient conditions for exponential ergodicity and large deviations principle for regime-switching stochastic damping Hamiltonian systems. Several examples on regime-switching van der Pol and (overdamped) Langevin systems are studied in detail for illustration.

math.PR↗

arXiv2018

Regime-Switching Jump Diffusions with Non-Lipschitz Coefficients and Countably Many Switching States: Existence and Uniqueness, Feller, and Strong Feller Properties

This work focuses on a class of regime-switching jump diffusion processes, which is a two component Markov processes $(X(t),Λ(t))$, where $Λ(t)$ is a component representing discrete events taking values in a countably infinite set. Considering the corresponding stochastic differential equations, our main focus is on treating those with non-Lipschitz coefficients. We first show that there exists a unique strong solution to the corresponding stochastic differential equation. Then Feller and strong Feller properties are investigated.

math.PR↗

arXiv2018

Jump Type Stochastic Differential Equations with Non-Lipschitz Coefficients: Non Confluence, Feller and Strong Feller Properties, and Exponential Ergodicity

This paper considers multidimensional jump type stochastic differential equations with super linear growth and non-Lipschitz coefficients. After establishing a sufficient condition for nonexplosion, this paper presents sufficient non-Lipschitz conditions for pathwise uniqueness. The non confluence property for solutions is investigated. Feller and strong Feller properties under non-Lipschitz conditions are investigated via the coupling method. Sufficient conditions for irreducibility and exponential ergodicity are derived. As applications, this paper also studies multidimensional stochastic differential equations driven by Lévy processes and presents a Feynman-Kac formula for Lévy type operators.

math.PR↗

arXiv2018

Stabilization of regime-switching processes by feedback control based on discrete time observations II: state-dependent case

This work investigates the almost sure stabilization of a class of regime-switching systems based on discrete-time observations of both continuous and discrete components. It develops Shao's work [SIAM J. Control Optim., 55(2017), pp. 724--740] in two aspects: first, to provide sufficient conditions for almost sure stability in lieu of moment stability; second, to investigate a class of state-dependent regime-switching processes instead of state-independent ones. To realize these developments, we establish an estimation of the exponential functional of Markov chains based on the spectral theory of linear operator. Moreover, through constructing order-preserving coupling processes based on Skorokhod's representation of jumping process, we realize the control from up and below of the evolution of state-dependent switching process by state-independent Markov chains.

math.PR↗

arXiv2017

On the Martingale Problem and Feller and Strong Feller Properties for Weakly Coupled Lévy Type Operators

This paper considers the martingale problem for a class of weakly coupled Lévy type operators. It is shown that under some mild conditions, the martingale problem is well-posed and uniquely determines a strong Markov process $(X,Λ)$. The process $(X,Λ)$, called a regime-switching jump diffusion with Lévy type jumps, is further shown to posses Feller and strong Feller properties under non-Lipschitz conditions via the coupling method.

math.PR↗

arXiv2017

On Feller and Strong Feller Properties and Exponential Ergodicity of Regime-Switching Jump Diffusion Processes with Countable Regimes

This work focuses on a class of regime-switching jump diffusion processes, in which the switching component has countably infinite many states or regimes. The existence and uniqueness of the underlying process are obtained by an interlacing procedure. Then the Feller and strong Feller properties of such processes are derived by the coupling method and an appropriate Radon-Nikodym derivative. Finally the paper studies exponential ergodicity of regime-switching jump-diffusion processes.

math.PR↗

arXiv2015

Stability and recurrence of regime-switching diffusion processes

We provide some criteria on the stability of regime-switching diffusion processes. Both the state-independent and state-dependent regime-switching diffusion processes with switching in a finite state space and an infinite countable state space are studied in this work. We provide two methods to deal with switching processes in an infinite countable state space. One is a finite partition method based on the nonsingular M-matrix theory. Another is an application of principal eigenvalue of a bilinear form. Our methods can deal with both linear and nonlinear regime-switching diffusion processes. Moreover, the method of principal eigenvalue is also used to study the recurrence of regime-switching diffusion processes.

math.PR↗