Strong invariance for switching diffusions

Article type: Research Article

Authors: Mei, Hongwei | Yin, George^;

Affiliations: Department of Mathematics, Wayne State University, Detroit, MI 48202, USA. E-mails: hongwei.mei@wayne.edu, gyin@math.wayne.edu

Note: [] Corresponding author. E-mail: gyin@math.wayne.edu

Abstract: This work is concerned with switching diffusions in which the switching depends on the diffusion process. It has been shown in the literature that if such a process is positive recurrent then it is ergodic. This paper further develops a law of iterated logarithms for the estimates on the aforementioned convergence rate. The law of iterated logarithms gives us a sharp bound on the estimation error sequence.

Keywords: switching diffusion, stationary distribution, law of iterated logarithm

DOI: 10.3233/ASY-141265

Journal: Asymptotic Analysis, vol. 92, no. 1-2, pp. 45-64, 2015