Self-organized regime switching in null-recurrent dynamics

Johannes Brutsche, Sebastian Hahn, Angelika Rohde

Based on discrete observations $X_0,X_{\Delta },\dots ,X_{n\Delta }$ for $\Delta =n^{-\gamma }$ with $\gamma \in [0,1)$ of the null-recurrent dynamic $d{X}_t=\sigma (X_t)d{W}_t$ with a Brownian motion $W$ and $σ(x)=α\mat…