On higher order moments and recurrence of an SDE with switching
Abstract
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 Xt at moments of jumps of the discrete component, as well as on some simple martingale properties.
0
Turn this paper into a full lesson
ArcXiv compiles a staged curriculum from this paper: 8-12 lessons across beginner → advanced, synthesised section guides, visuals, flashcards, a quiz, exercises, and on-demand deep dives per section. Grounded in the abstract, never invented.