The stationary distribution of Ornstein–Uhlenbeck process with a two-state Markov switching

DOI10.1080/03610918.2015.1132321zbMath1390.60130OpenAlexW2308888638MaRDI QIDQ5373895

Zhen Zhong Zhang, Wen-Long Wang

Publication date: 27 October 2017

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

Full work available at URL: https://doi.org/10.1080/03610918.2015.1132321

zbMATH Keywords

Ornstein-Uhlenbeck processtwo-state Markov process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (4)

Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory ⋮ Non-equilibrium thermodynamics of diffusion in fluctuating potentials ⋮ Exact long time behavior of some regime switching stochastic processes ⋮ Ultracontractivity for Brownian motion with Markov switching

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