A note on ergodicity for CIR model with Markov switching

DOI10.1080/03610918.2019.1584300zbMath1489.91290OpenAlexW2932907223MaRDI QIDQ5082619

Yunfang Lu, Qingting Meng, Jinying Tong, Zhen Zhong Zhang

Publication date: 21 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2019.1584300

zbMATH Keywords

Markov chainstationary distributionCox-Ingersoll-Ross (CIR) model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (2)

First passage time and mean exit time for switching Brownian motion ⋮ Some characterizations for Brownian motion with Markov switching

Cites Work

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• Long-term behavior of stochastic interest rate models with Markov switching
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• Long time behavior of diffusions with Markov switching
• Exponential ergodicity of CIR interest rate model with random switching
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Necessary and sufficient conditions for ergodicity of CIR type SDEs with Markov switching

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