Speaker: Shao Jinghai, Professor, Doctoral supervisor, Center for Applied Mathematics, Tianjin University

Date: December 8, 2022

Time: 19:30-21:00

Location: Tencent Meeting

Sponsor: School of Mathematics, Shandong University

Abstract:

A comparison theorem for state-dependent regime-switching diffusion processes is established, which enables us to control path wisely the evolution of the state-dependent switching component simply by Markov chains. Moreover, an estimate on the stability of Markovian regime-switching processes under the perturbation of transition rate matrices is provided. Our approach is based on the elaborate constructions of switching processes in the spirit of Skorokhod's representation theorem varying according to the problem being dealt with. In particular this method can cope with the switching processes in an infinite state space and not necessarily being of birth-death type. As an application, some known results on ergodicity and stability of state-dependent regime-switching processes can be improved.

For more information, please visit:

http://www.math.sdu.edu.cn/info/1020/18084.htm