A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2017; you can also visit the original URL.
The file type is
Let Y be an Ornstein-Uhlenbeck diffusion governed by a stationary and ergodic Markov jump process X: dY_t=a(X_t)Y_t dt+\sigma(X_t) dW_t, Y_0=y_0. Ergodicity conditions for Y have been obtained. Here we investigate the tail propriety of the stationary distribution of this model. A characterization of either heavy or light tail case is established. The method is based on a renewal theorem for systems of equations with distributions on R.doi:10.1214/105051604000000828 fatcat:2xyxfjg7wzhkza3z3uupql4on4