Ergodic properties of diffusion processes in random environments
主 题: Ergodic properties of diffusion processes in random environments
报告人: 邵井海 副教授 (北京师范大学)
时 间: 2013-10-14 15:00-16:00
地 点: 北京大学理科一号楼 1569 （主持人：刘勇）
In this talk, I shall introduce some results on the ergodic properties of regime-switching diffusion processes. Usually, the coefficients of the diffusion process in each fixed environment and the switching rate of the environment work together to determine the ergodic property of the regime-switching diffusion process. We show this by an example: switching geometric Brownian motion. This causes a lot of difficulty in the study of regime-switching diffusion processes. On the other hand, we seek some ergodic property which cannot be impacted by the switching rate of the environment.