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Exponential ergodicity of CIR interest rate model with random switching - MaRDI portal

Exponential ergodicity of CIR interest rate model with random switching (Q4975322)

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scientific article; zbMATH DE number 6756839
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English
Exponential ergodicity of CIR interest rate model with random switching
scientific article; zbMATH DE number 6756839

    Statements

    title
    Exponential ergodicity of CIR interest rate model with random switching (English)
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    author
    Jinying Tong
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    Zhen Zhong Zhang
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    publication date
    4 August 2017
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    zbMATH Keywords
    Cox-Ingersoll-Ross (CIR) model
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    stationary distribution
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    exponential ergodicity
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    random switching
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    central limit theorem
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    Identifiers

    Mathematics Subject Classification ID
    91G30
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    60J28
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    60H30
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    60F05
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    zbMATH DE Number
    6756839
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    Wikidata QID
    Q115523093
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