Some characterizations for Brownian motion with Markov switching

DOI10.1016/J.NAHS.2021.101086MaRDI QIDQ2060874zbMATH OpenOpenAlexFDO

Authors Miaomiao Zhai, Jinying Tong, Qianqian Zhang, Zhen Zhong Zhang

Publication date 13 December 2021

Published in Nonlinear Analysis. Hybrid Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.nahs.2021.101086

zbMATH Keywords

maximum distributiondensity functionmean exit timeswitching Brownian motion

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Discrete-time Markov processes on general state spaces (60J05)

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Cited in

(5)

• Ergodicity and first passage probability of regime-switching geometric Brownian motions
• Ultracontractivity for Brownian motion with Markov switching
• Some characterizations for the CIR model with Markov switching
• First passage time and mean exit time for switching Brownian motion
• Some explicit expressions for GBM with Markovian switching and parameter estimations

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