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Abstract This paper is devoted to the study of regime-switching jump diffusion processes with countable regimes. It aims to establish Foster–Lyapunov-type criteria for exponential ergodicity of such processes. After recalling… Click to show full abstract
Abstract This paper is devoted to the study of regime-switching jump diffusion processes with countable regimes. It aims to establish Foster–Lyapunov-type criteria for exponential ergodicity of such processes. After recalling results concerning the petiteness of compact sets, this paper presents sufficient conditions for the existence of a Foster–Lyapunov function; this, in turn, helps to establish sufficient conditions for the desired exponential ergodicity for regime-switching jump diffusion processes. Finally, an application to feedback control problems is presented.
Journal Title: Journal of Applied Probability
Year Published: 2022
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