On higher order moments and recurrence of an SDE with switching

Abstract

Second order recurrence of a $d$-dimensional diffusion with an additive Wiener process, with switching, and with one recurrent and one transient regime and constant switching intensities is established under suitable conditions. The approach is based on embedded Markov chains and a priori bounds for the moments of $X_t$ at moments of jumps of the discrete component, as well as on some simple martingale properties.

arXiv comment25 pages, 11 references