Long time behavior of diffusions with Markov switching

Details Long time behavior of diffusions with Markov switching Long time behavior of diffusions with Markov switching

2009-12-16

arxiv.org/abs/0912.3231v2

Mathematics

Probability

Scientific paper

Let $Y$ be an Ornstein-Uhlenbeck diffusion governed by an ergodic finite state Markov process $X$: $dY_t=-\lambda(X_t)Y_tdt+\sigma(X_t)dB_t$, $Y_0$ given. Under ergodicity condition, we get quantitative estimates for the long time behavior of $Y$. We also establish a trichotomy for the tail of the stationary distribution of $Y$: it can be heavy (only some moments are finite), exponential-like (only some exponential moments are finite) or Gaussian-like (its Laplace transform is bounded below and above by Gaussian ones). The critical moments are characterized by the parameters of the model.

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