Moment bounds and ergodicity of switching diffusion systems involving two-time-scale Markov chains

摘要

This work is concerned with stochastic differential equations with regime switching modulated by a two-time-scale Markov chain involving fast and slow motions. Using the perturbed Lyapunov function methods and stochastic analysis, we obtain moment boundedness. Then we further provide sufficient conditions under which the measures of the original system converge to the invariant measure of the limiting system. (C) 2019 Elsevier B.V. All rights reserved.