Tail of a linear diffusion with Markov switching
| dc.creator | de Saporta, Benoite | |
| dc.creator | Yao, Jian-Feng | |
| dc.date | 2005-03-24 | |
| dc.date.accessioned | 2026-07-07T05:18:20Z | |
| dc.date.available | 2026-07-07T05:18:20Z | |
| dc.description | 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+σ(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. | |
| dc.description | Published at http://dx.doi.org/10.1214/105051604000000828 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org) | |
| dc.identifier | https://arxiv.org/abs/math/0503527 | |
| dc.identifier | http://arxiv.org/abs/math/0503527 | |
| dc.identifier | Annals of Applied Probability 2005, Vol. 15, No. 1B, 992-1018 | |
| dc.identifier | doi:10.1214/105051604000000828 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/74625 | |
| dc.subject | Probability | |
| dc.subject | 60J60, 60J75, 60H25 (Primary) 60K05, 60J15 (Secondary) | |
| dc.title | Tail of a linear diffusion with Markov switching | |
| dc.type | text |