Linear diffusion with stationary switching regime

Xavier Guyon (1, 2) , Serge Iovleff (3) , Jian-Feng Yao (4)

1 SAMOS - Statistique Appliquée et MOdélisation Stochastique
2 MATISSE - UMR 8595 - Modélisation Appliquée, Trajectoires Institutionnelles et Stratégies Socio-Économiques
3 LPP - Laboratoire Paul Painlevé - UMR 8524
4 IRMAR - Institut de Recherche Mathématique de Rennes

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.

Mots clés: diffusion; switching regime; ergodicity; moment; Ornstein-Uhlenbeck process

Domaines: Statistiques [math.ST]; Théorie [stat.TH]

Xavier Guyon, Serge Iovleff, Jian-Feng Yao. Linear diffusion with stationary switching regime. ESAIM: Probability and Statistics, 2004, 8, pp.25-35. ⟨10.1051/ps:2003017⟩. ⟨hal-00272033⟩