The tail behavior of jump-diffusion Cox-Ingersoll-Ross processes with regime-switching
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Publication:2070639
DOI10.1016/J.SPL.2021.109271zbMath1481.60157OpenAlexW3204819579MaRDI QIDQ2070639
Publication date: 24 January 2022
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2021.109271
Random operators and equations (aspects of stochastic analysis) (60H25) Diffusion processes (60J60) Processes in random environments (60K37) Jump processes on general state spaces (60J76)
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- A Theory of the Term Structure of Interest Rates
- Long time behavior of diffusions with Markov switching
- Jump-diffusion CIR model and its applications in credit risk
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