Positive recurrence of a solution of an SDE with variable switching intensities

Abstract

Positive recurrence of a $d$-dimensional diffusion with switching and with one recurrent and one transient regimes and variable switching intensities is established under suitable conditions. The approach is based on embedded Markov chains.

20 pages, 15 refs

References in corpus (1)

• Exponential ergodicity for Markov processes with random switching