Tail of a linear diffusion with Markov switching
Idioma
en
Article de revue
Este ítem está publicado en
The Annals of Applied Probability. 2005, vol. 15, p. 922-1018
Institute of Mathematical Statistics (IMS)
Resumen en inglés
Let Y be an Ornstein-Uhlenbeck diffusion governed by a stationary and ergodic Markov jump process X: dY_t=a(X_t)Y_t dt+\sigma(X_t) dW_t, Y_0=y_0. Ergodicity conditions for Y have been obtained. Here we investigate the tail ...Leer más >
Palabras clave en inglés
Ornstein-Uhlenbeck diffusion
Markov switching
random difference equation
light tail
heavy tail
renewal theory
Perron-Frobenius theory
ladder heights