{
  "id": "math/0503527",
  "version": "v1",
  "published": "2005-03-24T10:04:00.000Z",
  "updated": "2005-03-24T10:04:00.000Z",
  "title": "Tail of a linear diffusion with Markov switching",
  "authors": [
    "Benoite de Saporta",
    "Jian-Feng Yao"
  ],
  "comment": "Published at http://dx.doi.org/10.1214/105051604000000828 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)",
  "journal": "Annals of Applied Probability 2005, Vol. 15, No. 1B, 992-1018",
  "doi": "10.1214/105051604000000828",
  "categories": [
    "math.PR"
  ],
  "abstract": "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+\\sigma(X_t) dW_t, Y_0=y_0. Ergodicity conditions for Y have been obtained. Here we investigate the tail propriety of the stationary distribution of this model. A characterization of either heavy or light tail case is established. The method is based on a renewal theorem for systems of equations with distributions on R.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2005-03-24T10:04:00.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60J60",
      "60J75",
      "60H25",
      "60K05",
      "60J15"
    ],
    "keywords": [
      "linear diffusion",
      "markov switching",
      "ergodic markov jump process",
      "light tail case",
      "renewal theorem"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2005math......3527D"
    }
  }
}