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Linear diffusion with stationary switching regime

Abstract : 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.
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https://hal.archives-ouvertes.fr/hal-00272033
Contributor : Xavier Guyon Connect in order to contact the contributor
Submitted on : Thursday, April 10, 2008 - 5:00:03 PM
Last modification on : Tuesday, November 22, 2022 - 2:26:13 PM
Long-term archiving on: : Friday, September 28, 2012 - 12:30:36 PM

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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⟩

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