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• W2752578433 abstract "Let Y be an Ornstein–Uhlenbeck diffusion governed by a stationary and ergodic Markov jump process X: dYt=a(Xt)Yt dt+σ(Xt) dWt, Y0=y0. 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." @default.
• W2752578433 created "2017-09-15" @default.
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• W2752578433 date "2005-02-01" @default.
• W2752578433 modified "2023-09-23" @default.
• W2752578433 title "Tail of a linear diffusion with Markov switching" @default.
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• W2752578433 doi "https://doi.org/10.1214/105051604000000828" @default.
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