Tail of a Linear Diffusion with Markov Switching
نویسنده
چکیده
Let Y be an Ornstein–Uhlenbeck diffusion governed by a stationary and ergodic Markov jump process X: dYt = a(Xt)Yt dt + σ(Xt)dWt, Y0 = y0. Ergodicity conditions for Y have been obtained. Here we investigate the tail propriety of the stationary distribution of this model. A characterization of either heavy or light tail case is established. The method is based on a renewal theorem for systems of equations with distributions on R.
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تاریخ انتشار 2005