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

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Abstract

Positive recurrence of a d-dimensional diffusion with an additive Wiener process, 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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  1. Institute for Information Transmission Problems, Moscow, Russian Federation

    Alexander Veretennikov

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  1. Alexander Veretennikov
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Correspondence to Alexander Veretennikov.

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This article is dedicated to István Gyöngy on the occasion of his 70th birthday.

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This research was funded by Russian Foundation for Basic Research grant 20-01-00575a.

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Veretennikov, A. Positive recurrence of a solution of an SDE with variable switching intensities. Stoch PDE: Anal Comp 10, 1165–1179 (2022). https://doi.org/10.1007/s40072-022-00265-7

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  • DOI: https://doi.org/10.1007/s40072-022-00265-7

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