Linear diffusion with stationary switching regime

Guyon, Xavier; Iovleff, Serge; Yao, Jian-Feng

doi:10.1051/ps:2003017

Guyon, Xavier ; Iovleff, Serge ; Yao, Jian-Feng

ESAIM: Probability and Statistics, Tome 8 (2004), pp. 25-35.

Résumé

Let $Y$ be a Ornstein-Uhlenbeck diffusion governed by a stationary and ergodic process $X : d Y_{t} = a (X_{t}) Y_{t} d t + σ (X_{t}) d W_{t}, Y_{0} = y_{0}$ . We establish that under the condition $α = E_{μ} (a (X_{0})) < 0$ with $μ$ the stationary distribution of the regime process $X$ , the diffusion $Y$ is ergodic. We also consider conditions for the existence of moments for the invariant law of $Y$ when $X$ is a Markov jump process having a finite number of states. Using results on random difference equations on one hand and the fact that conditionally to $X$ , $Y$ is gaussian on the other hand, we give such a condition for the existence of the moment of order $s \geq 0$ . Actually we recover in this case a result that Basak et al. [J. Math. Anal. Appl. 202 (1996) 604-622] have established using the theory of stochastic control of linear systems.

MR Zbl

DOI : 10.1051/ps:2003017

Classification : 60J60, 60J75
Mots clés : Ornstein-Uhlenbeck diffusion, Markov switching, jump process, random difference equations, ergodicity, existence of moments

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     author = {Guyon, Xavier and Iovleff, Serge and Yao, Jian-Feng},
     title = {Linear diffusion with stationary switching regime},
     journal = {ESAIM: Probability and Statistics},
     pages = {25--35},
     publisher = {EDP-Sciences},
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     year = {2004},
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     url = {http://www.numdam.org/articles/10.1051/ps:2003017/}
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Guyon, Xavier; Iovleff, Serge; Yao, Jian-Feng. Linear diffusion with stationary switching regime. ESAIM: Probability and Statistics, Tome 8 (2004), pp. 25-35. doi : 10.1051/ps:2003017. http://www.numdam.org/articles/10.1051/ps:2003017/

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