Recurrence and Ergodicity of Switching Diffusions with Past-Dependent Switching Having a Countable State Space
نویسندگان
چکیده
منابع مشابه
Modeling and Analysis of Switching Diffusion Systems: Past-Dependent Switching with a Countable State Space
Motivated by networked systems in random environment and controlled hybrid stochastic dynamic systems, this work focuses on modeling and analysis of a class of switching diffusions consisting of continuous and discrete components. Novel features of the models include the discrete component taking values in a countably infinite set, and the switching depending on the value of the continuous comp...
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We introduce a statistical model for times series data with nonlinear dynamics which iteratively segments the data into regimes with approximately linear dynamics and learns the parameters of each of those regimes. This model combines and generalizes two of the most widely used stochastic time series models|the hidden Markov model and the linear dynamical system|and is related to models that ar...
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Diffusions with random switching are stochastic processes that consist of a diffusion process Xt and a continuous Markov jump process Yt. Both components interact with each other as Yt controls the dynamical regimes of Xt and Xt effects the transition rate of Yt. This type of systems includes a wide range of models used in various fields, and many applications require the transition rates of Yt...
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ژورنال
عنوان ژورنال: Potential Analysis
سال: 2017
ISSN: 0926-2601,1572-929X
DOI: 10.1007/s11118-017-9641-y