most citedTail of a linear diffusion with Markov switching

62 citations · 62 across the 1 of their papers we have counts for

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math.PR2005★ 62 cited

Tail of a linear diffusion with Markov switching

Benoite de Saporta, Jian-Feng Yao

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+σ(X_t) dW_t, Y_0=y_0. Ergodicity conditions for Y have been o…