Abstract
In this work, for a one-dimensional regime-switching diffusion process, we show that when it is positive recurrent, then there exists a stationary distribution, and when it is null recurrent, then there exists an invariant measure. We also provide the explicit representation of the stationary distribution and invariant measure based on the hitting times of the process.
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Shao, J. Ergodicity of one-dimensional regime-switching diffusion processes. Sci. China Math. 57, 2407–2414 (2014). https://doi.org/10.1007/s11425-014-4853-8
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DOI: https://doi.org/10.1007/s11425-014-4853-8