Exponential ergodicity of CIR interest rate model with random switching (Q4975322)
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scientific article; zbMATH DE number 6756839
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| English | Exponential ergodicity of CIR interest rate model with random switching |
scientific article; zbMATH DE number 6756839 |
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Exponential ergodicity of CIR interest rate model with random switching (English)
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4 August 2017
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Cox-Ingersoll-Ross (CIR) model
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stationary distribution
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exponential ergodicity
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random switching
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central limit theorem
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0.898604154586792
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0.8946083188056946
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0.8757770657539368
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0.8716748356819153
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0.8641130924224854
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