带马氏切换扩散过程的指数遍历速率  

Exponential Ergodic Rates of Markov Switching Diffusion Processes

作　　者：王玲娣 任盼盼[1,2] WANG Lingdi;REN Panpan(School of Mathematics and Statistics,Henan University,475004,Kaifeng,China;Xiayi No.1 High School,476400,Shangqiu,China;Postdoctoral of Henan University,4-75004,Kaifeng,China)

机构地区：[1]河南大学数学与统计学院,开封475004 [2]夏邑县第一高级中学,商丘476400 [3]河南大学,开封475004

出　　处：《应用概率统计》2020年第5期453-466,共14页Chinese Journal of Applied Probability and Statistics

基　　金：国家自然科学基金项目(批准号:11771327、11771123、11971149);河南省高等学校重点科研项目(批准号:16A110010)资助。

摘　　要：本文讨论带马氏切换扩散过程的指数遍历性问题,给出了原点为反射边界时该过程的一类f-指数遍历的判别条件.当在固定环境下一维扩散过程随机保序时,借助耦合方法给出了原点为反射边界的带马氏切换扩散过程指数遍历速率的显式估计.In this paper,we discuss the exponential ergodicity of Markov switching diffusion processes,presenting criteria of f-exponential ergodicity for the processes with reflecting boundary at origin.When the one-dimensional diffusion processes are stochastically ordered for any fixed environment,the explicit estimates of the exponential ergodic rate for the process are investigated by means of the coupling method.

关 键 词：LYAPUNOV函数 带马氏切换扩散过程 M-矩阵 随机保序 

分 类 号：O211.6[理学—概率论与数理统计]