ON FOSTER-LYAPUNOV CRITERIA FOR EXPONENTIAL ERGODICITY OF REGIME-SWITCHING JUMP DIFFUSION PROCESSES WITH COUNTABLE REGIMES

被引：1

作者：

Kunwai, Khwanchai ^{[1
,2
]}

机构：

[1] Univ Wisconsin, Milwaukee, WI 53201 USA

[2] 1709 E Pk Pl 31, Milwaukee, WI 53211 USA

来源：

JOURNAL OF APPLIED PROBABILITY | 2022年 / 59卷 / 01期

关键词：

Regime-switching jump diffusion; exponential ergodicity; Foster-Lyapunov function; irreducibility; phi-irreducibility; STRONG FELLER PROPERTIES; MARKOVIAN PROCESSES; STABILITY; RECURRENCE;

D O I：

10.1017/jpr.2021.48

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper is devoted to the study of regime-switching jump diffusion processes with countable regimes. It aims to establish Foster-Lyapunov-type criteria for exponential ergodicity of such processes. After recalling results concerning the petiteness of compact sets, this paper presents sufficient conditions for the existence of a Foster-Lyapunov function; this, in turn, helps to establish sufficient conditions for the desired exponential ergodicity for regime-switching jump diffusion processes. Finally, an application to feedback control problems is presented.

引用

页码：167 / 186

页数：20

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