Some characterizations for Brownian motion with Markov switching
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Publication:2060874
DOI10.1016/J.NAHS.2021.101086zbMATH Open1490.60226OpenAlexW3184504912MaRDI QIDQ2060874FDOQ2060874
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
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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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