Strong invariance for switching diffusions
Hongwei Mei, George Yin · Asymptotic Analysis · 2015
This work is concerned with switching diffusions in which the switching depends on the diffusion process. It has been shown in the literature that if such a process is positive recurrent then it is ergodic. This paper further develops a law of iterated logarithms for the estimates on the aforementioned convergence rate. The law of iterated logarithms gives us a sharp bound on the estimation error sequence.