Exponential ergodicity of CIR interest rate model with random switching

DOI10.1142/S021949371750037XzbMath1369.91187WikidataQ115523093 ScholiaQ115523093MaRDI QIDQ4975322

Jinying Tong, Zhen Zhong Zhang

Publication date: 4 August 2017

Published in: Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

central limit theoremstationary distributionexponential ergodicityrandom switchingCox-Ingersoll-Ross (CIR) model

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (6)

Necessary and sufficient conditions for ergodicity of CIR model driven by stable processes with Markov switching ⋮ A note on ergodicity for CIR model with Markov switching ⋮ Ergodicity of CIR type SDEs driven by stable processes with random switching ⋮ Ergodicity and transience of SDEs driven by -stable processes with Markovian switching ⋮ Necessary and sufficient conditions for ergodicity of CIR type SDEs with Markov switching ⋮ Some characterizations for the CIR model with Markov switching

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