Tail of a linear diffusion with Markov switching
De Saporta, Benoîte ; Yao, Jian-Feng
HAL, hal-00274880 / Harvested from HAL
Text on HAL
Let Y be a Ornstein–Uhlenbeck diffusion governed by a stationary and ergodic Markov jump process X, i.e. dYt=a(Xt)Ytdt+σ(Xt)dWt, Y0=y0. Ergodicity conditions for Y have been obtained. Here we investigate the tail property of the stationary distribution of this model. A characterization of the only two possible cases is established: light tail or polynomial tail. Our method is based on discretizations and renewal theory.
Publié le : 2004-07-05
Classification:  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] 
@article{hal-00274880,
     author = {De Saporta, Beno\^\i te and Yao, Jian-Feng},
     title = {Tail of a linear diffusion with Markov switching},
     journal = {HAL},
     volume = {2004},
     number = {0},
     year = {2004},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00274880}
}

De Saporta, Benoîte; Yao, Jian-Feng. Tail of a linear diffusion with Markov switching. HAL, Tome 2004 (2004) no. 0, . http://gdmltest.u-ga.fr/item/hal-00274880/