Linear diffusion with stationary switching regime
Guyon, Xavier ; Iovleff, Serge ; Yao, Jian-Feng
HAL, hal-00272033 / Harvested from HAL
Text on HAL
Let Y be an Ornstein-Uhlenbeck diffusion governed by a stationary and ergodic process X. We give condition for ergodicity of Y and give conditions that ensures existence of moment for the invariant law of Y.
Publié le : 2004-07-05
Classification:  diffusion,  switching regime,  ergodicity,  moment,  Ornstein-Uhlenbeck process,  60J60 ; 60J75,  [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST],  [STAT.TH]Statistics [stat]/Statistics Theory [stat.TH] 
@article{hal-00272033,
     author = {Guyon, Xavier and Iovleff, Serge and Yao, Jian-Feng},
     title = {Linear diffusion with stationary switching regime},
     journal = {HAL},
     volume = {2004},
     number = {0},
     year = {2004},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00272033}
}

Guyon, Xavier; Iovleff, Serge; Yao, Jian-Feng. Linear diffusion with stationary switching regime. HAL, Tome 2004 (2004) no. 0, . http://gdmltest.u-ga.fr/item/hal-00272033/