{"ID":5551887,"CreatedAt":"2026-07-02T01:54:51.863792489Z","UpdatedAt":"2026-07-04T01:45:22.703757252Z","DeletedAt":null,"paper_url":"https://arxiv.org/abs/2607.00330","arxiv_id":"2607.00330","title":"Ergodicity and High-Frequency Inference for Hybrid Switching Lévy-Driven Stochastic Differential Equations","abstract":"Hybrid switching Lévy-driven stochastic differential equations with pure-jump noise and state-dependent switching rates are studied under high-frequency observation. A three-stage inference procedure is proposed for the drift, scale, and switching-rate parameters, combining a staged Gaussian quasi-likelihood with an intensity-type contrast. Checkable sufficient conditions for weighted exponential ergodicity are established for the hybrid process; the proof does not rely on Brownian smoothing, but uses a fixed skeleton-chain argument combining small-jump accessibility and regime connectivity. Under ergodicity and the high-frequency sampling scheme, consistency, joint asymptotic normality, and a polynomial-type large deviation inequality are proved for the full estimator. The joint limit exhibits a transparent covariance structure: the drift and scale blocks are coupled through the third moment of the driving Lévy noise, whereas the switching-rate block is asymptotically uncorrelated with the continuous-coefficient blocks. Numerical experiments for models driven by normal inverse Gaussian noise illustrate the finite-sample behavior of the proposed estimators.","short_abstract":"Hybrid switching Lévy-driven stochastic differential equations with pure-jump noise and state-dependent switching rates are studied under high-frequency observation. A three-stage inference procedure is proposed for the drift, scale, and switching-rate parameters, combining a staged Gaussian quasi-likelihood with an in...","url_abs":"https://arxiv.org/abs/2607.00330","url_pdf":"https://arxiv.org/pdf/2607.00330v1","authors":"[\"Yuzhong Cheng\"]","published":"2026-07-01T02:13:40Z","proceeding":"math.ST","tasks":"[\"math.ST\",\"math.PR\"]","methods":"[]","has_code":false}