Ergodicity of regime-switching diffusions in Wasserstein distances

By Jinghai Shao. 2014

56 citations recorded by the source corpus.

Based on the theory of M-matrix and Perron-Frobenius theorem, we provide some criteria to justify the convergence of the regime-switching diffusion processes in Wasserstein distances. The cost function we used to define the Wasserstein distance is not necessarily bounded. The continuous time Markov chains with finite and countable state space are all studied. To deal with the countable state space, we put forward a finite partition method. The boundedness for state-dependent regime-switching diffusions in an infinite state space is also studied.

Subfields: Applied Mathematics, Computational Theory and Mathematics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/9e1f639a877b9fded671bcfa81190d82672012f2

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Applied Mathematics

1. Jianhai Bao
2. Chenggui Yuan
3. Chao Zhu
4. Jinghai Shao
5. Charles-Edouard Br'ehier

In Computational Theory and Mathematics

1. Jinghai Shao
2. Dang Hai Nguyen
3. George Yin
4. Jianhai Bao
5. Chenggui Yuan
6. Chao Zhu
7. Charles-Edouard Br'ehier

In Statistics and Probability

1. George Yin
2. Chenggui Yuan
3. Jianhai Bao
4. Chao Zhu
5. Dang Hai Nguyen
6. Jinghai Shao

Citations in the corpus

• Certain properties related to well posedness of switching diffusions (2017, background): “For some of the recent progress, we mention the work [2, 7, 11, 13, 14, 18, 21] and references therein.”
• Approximation of Invariant Measures for Regime-switching Diffusions (2014, methodology): “, Shao [20]) and an M-matrix theory (see, e.”