Ergodicity of one-dimensional regime-switching diffusion processes  

作　　者：SHAO JingHai 

机构地区：[1]School of Mathematical Sciences,Beijing Normal University

出　　处：《Science China Mathematics》2014年第11期2407-2414,共8页中国科学：数学（英文版）

基　　金：supported by National Natural Science Foundation of China(Grant No.11301030);Beijing Higher Education Young Elite Teacher Project

摘　　要：In this work,for a one-dimensional regime-switching diffusion process,we show that when it is positive recurrent,then there exists a stationary distribution,and when it is null recurrent,then there exists an invariant measure. We also provide the explicit representation of the stationary distribution and invariant measure based on the hitting times of the process.In this work,for a one-dimensional regime-switching diffusion process,we show that when it is positive recurrent,then there exists a stationary distribution,and when it is null recurrent,then there exists an invariant measure. We also provide the explicit representation of the stationary distribution and invariant measure based on the hitting times of the process.

关 键 词：regime-switching diffusion ERGODICITY positive recurrence renewal theorem 

分 类 号：O211.6[理学—概率论与数理统计] O413.1[理学—数学]