Ergodicity of CIR type SDEs driven by stable processes with random switching

DOI10.1080/17442508.2019.1654477zbMath1497.60115OpenAlexW2969906453MaRDI QIDQ5086515

Zhen Zhong Zhang, Jinying Tong, Jingwen Cao, Enwen Zhu

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2019.1654477

zbMATH Keywords

ergodicitytransiencestationary distributionrandom switching\(\alpha\)-stable processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Continuous-time Markov processes on discrete state spaces (60J27)

Uses Software

• plfit

Cites Work

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