Necessary and sufficient conditions for ergodicity of CIR model driven by stable processes with Markov switching

DOI10.3934/dcdsb.2018053zbMath1402.60057OpenAlexW2782307035MaRDI QIDQ1634887

Jinying Tong, Enhua Zhang, Zhen Zhong Zhang

Publication date: 18 December 2018

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2018053

zbMATH Keywords

transiencestationary distributionMarkov switchingCIR modelsymmetric \(\alpha\)-stable process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Stable stochastic processes (60G52) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (2)

A note on ergodicity for CIR model with Markov switching ⋮ Some characterizations for the CIR model with Markov switching

Uses Software

• plfit

Cites Work

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