Geometric Regime--Switching Diffusions on Stratified Riemannian Spaces with an Application to Covariance Matrices

Abstract

We construct geometric regime-switching diffusions, a class of Markov processes on locally compact stratified Riemannian state spaces. In contrast with classical regime-switching and stochastic hybrid diffusions, the regimes are not external labels, but intrinsic strata of a singular geometric state space. Changes of regime may therefore change dimension, rank, geometry or combinatorial type while the state space maintains its ambient topology. On each stratum the motion is a conservative Feller diffusion, while inter-stratum transitions are specified by state-dependent jump rates and landing kernels along a directed graph. We characterize the process through a martingale problem on a natural stratified core. Under a uniform bound on the total jump rate, we construct a conservative càdlàg strong Markov process by combining the stratumwise diffusions with a Poisson thinning mechanism. Uniqueness is proved using an auxiliary disjoint-union topology and a bounded perturbation argument. Standard Foster--Lyapunov conditions for the extended generator give positive Harris recurrence, uniqueness of the invariant probability measure and, under aperiodicity, \(V\)-uniform geometric ergodicity. The framework is applied to the cone of positive semidefinite covariance matrices, stratified by rank. The resulting process combines fixed-rank covariance diffusions with stochastic rank changes and is \(V\)-uniformly geometrically ergodic.