On higher order moments and recurrence of an SDE with switching
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arXiv
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| Format: | Preprint |
| Published: |
2022
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| _version_ | 1866916297994928128 |
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| author | Veretennikov, Alexander |
| author_facet | Veretennikov, Alexander |
| contents | Second order recurrence of a $d$-dimensional diffusion with an additive Wiener process, with switching, and with one recurrent and one transient regime and constant switching intensities is established under suitable conditions. The approach is based on embedded Markov chains and a priori bounds for the moments of $X_t$ at moments of jumps of the discrete component, as well as on some simple martingale properties. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2212_13921 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | On higher order moments and recurrence of an SDE with switching Veretennikov, Alexander Probability 60H10, 60J60 Second order recurrence of a $d$-dimensional diffusion with an additive Wiener process, with switching, and with one recurrent and one transient regime and constant switching intensities is established under suitable conditions. The approach is based on embedded Markov chains and a priori bounds for the moments of $X_t$ at moments of jumps of the discrete component, as well as on some simple martingale properties. |
| title | On higher order moments and recurrence of an SDE with switching |
| topic | Probability 60H10, 60J60 |
| url | https://arxiv.org/abs/2212.13921 |