Frontiers of Mathematics in China >
Convergence, boundedness, and ergodicity of regime-switching diusion processes with infinite memory
Received date: 09 Apr 2020
Accepted date: 15 Jun 2020
Published date: 15 Apr 2021
Copyright
We study a class of diffusion processes, which are determined by solutions X(t) to stochastic functional differential equation with infinite memory and random switching represented by Markov chain Λ(t): Under suitable conditions, we investigate convergence and boundedness of both the solutions X(t) and the functional solutions Xt: We show that two solutions (resp., functional solutions) from different initial data living in the same initial switching regime will be close with high probability as time variable tends to infinity, and that the solutions (resp., functional solutions) are uniformly bounded in the mean square sense. Moreover, we prove existence and uniqueness of the invariant probability measure of two-component Markov-Feller process (Xt,Λ(t)); and establish exponential bounds on the rate of convergence to the invariant probability measure under Wasserstein distance. Finally, we provide a concrete example to illustrate our main results.
Jun LI , Fubao XI . Convergence, boundedness, and ergodicity of regime-switching diusion processes with infinite memory[J]. Frontiers of Mathematics in China, 2021 , 16(2) : 499 -523 . DOI: 10.1007/s11464-020-0863-8
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