Tail of a linear diffusion with Markov switching

• 成果类型: Article
• 署名作者: De Saporta, B; Yao, JF
• 署名单位: Universite de Rennes
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/105051604000000828
• 发表日期: 2005
• 页码: 992-1018
• 关键词: renewal-equations; systems; THEOREM

摘要

Let Y be an Ornstein-Uhlenbeck diffusion governed by a stationary and ergodic Markov jump process X: dY(t) = a(X-t)Y-t dt + sigma (X-t) dW(t), Y-0 = y(0). Ergodicity conditions for Y have been obtained. Here we investigate the tail propriety of the stationary distribution of this model. A characterization of either heavy or light tail case is established. The method is based on a renewal theorem for systems of equations with distributions on R.