Recurrence and Ergodicity of Switching Diffusions with Past-Dependent Switching Having A Countable State Space

Abstract: This work focuses on recurrence and ergodicity of switching diffusions consisting of continuous and discrete components, in which the discrete component takes values in a countably infinite set and the rates of switching at current time depend on the value of the continuous component over an interval including certain past history. Sufficient conditions for recurrence and ergodicity are given. Moreover, the relationship between systems of partial differential equations and recurrence when the switching is past-independent is established under suitable conditions.