Alexander Veretennikov
Published 2022-12-28Version 1
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.
Comments: 25 pages, 10 references
Positive recurrence of a solution of an SDE with variable switching intensities
Higher order moments for SPDE with monotone nonlinearities
Invariant measures and Euler-Maruyama's approximations of state-dependent regime-switching diffusions
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