The tail behavior of jump-diffusion Cox-Ingersoll-Ross processes with regime-switching

DOI10.1016/J.SPL.2021.109271zbMath1481.60157OpenAlexW3204819579MaRDI QIDQ2070639

Huijie Ji, Fu-bao Xi

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

zbMATH Keywords

jump-diffusionCIR processregime-switchingheavy-tailed property

Mathematics Subject Classification ID

Random operators and equations (aspects of stochastic analysis) (60H25) Diffusion processes (60J60) Processes in random environments (60K37) Jump processes on general state spaces (60J76)

Cites Work

• Unnamed Item
• Long time behaviour of stochastic interest rate models
• Short rate nonlinearities and regime switches.
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• Regime-switching jump diffusions with non-Lipschitz coefficients and countably many switching states: existence and uniqueness, Feller, and strong Feller properties
• Criteria for transience and recurrence of regime-switching diffusion processes
• Long-term behavior of stochastic interest rate models with Markov switching
• 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
• Tail of a linear diffusion with Markov switching

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