Heavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching

DOI10.1007/S11425-017-9392-5zbMath1459.60161arXiv1709.01691OpenAlexW2963566107WikidataQ127495526 ScholiaQ127495526MaRDI QIDQ2197841

Jing Hai Shao, Tongtong Hou

Publication date: 1 September 2020

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.01691

zbMATH Keywords

regime switchingergodicityheavy taillight tail

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60)

Related Items (9)

Exponential ergodicity for regime-switching diffusion processes in total variation norm ⋮ Long-time behavior of Lévy-driven Ornstein–Uhlenbeck processes with regime switching ⋮ Wellposedness of viscosity solutions to weakly coupled HJB equations under Hölder \textit{continuous conditions} ⋮ Exact long time behavior of some regime switching stochastic processes ⋮ Stabilization of Regime-Switching Processes by Feedback Control Based on Discrete Time Observations II: State-Dependent Case ⋮ Stability of regime-switching processes under perturbation of transition rate matrices ⋮ The tail behavior of jump-diffusion Cox-Ingersoll-Ross processes with regime-switching ⋮ Stability and asymptotic behavior of a regime-switching SIRS model with Beddington-DeAngelis incidence rate ⋮ Harnack inequality and long time asymptotics of unbounded additive functionals of regime-switching diffusion processes

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