Necessary and sufficient conditions for ergodicity of CIR type SDEs with Markov switching

DOI10.1142/S0219493719500230zbMath1415.60035OpenAlexW2888506617MaRDI QIDQ5384788

Hongqian Yang, Jinying Tong, Liangjian Hu, Zhen Zhong Zhang

Publication date: 25 June 2019

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

Full work available at URL: https://doi.org/10.1142/s0219493719500230

zbMATH Keywords

ergodicitystationary distributionCox-Ingersoll-Ross modelKhasminskii lemma

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (3)

Exponential ergodicity for regime-switching diffusion processes in total variation norm ⋮ A note on ergodicity for CIR model with Markov switching ⋮ Some characterizations for the CIR model with Markov switching

Cites Work

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