Long-term behavior of stochastic interest rate models with Markov switching (Q2520458)
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scientific article; zbMATH DE number 6662970
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| English | Long-term behavior of stochastic interest rate models with Markov switching |
scientific article; zbMATH DE number 6662970 |
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Long-term behavior of stochastic interest rate models with Markov switching (English)
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13 December 2016
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Cox-Ingersoll-Ross (CIR) model
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Markov chain
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stationary distribution
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Feller property
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Hölder continuous
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0.8641130924224854
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0.8561607599258423
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0.8403835892677307
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0.8389337062835693
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0.8373925685882568
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