Criteria for transience and recurrence of regime-switching diffusion processes

Jinghai Shao

Published 2014-03-13, updated 2015-03-06Version 2

We provide some on-off type criteria for recurrence and transience of regime-switching diffusion processes using the theory of M-matrix and the Perron-Frobenius theorem. State-independent and state-dependent regime-switching diffusion processes in a finite space and a countable space are both studied. We put forward a finite partition method to deal with switching process in a countable space. As an application, we improve the known criteria for recurrence of linear regime-switching diffusion processes, and provide an on-off type criterion for a kind of nonlinear regime-switching diffusion processes.