Long-term behavior of stochastic interest rate models with Markov switching

DOI10.1016/j.insmatheco.2016.06.017zbMath1371.91186OpenAlexW2463367591MaRDI QIDQ2520458

Liangjian Hu, Jinying Tong, Zhen Zhong Zhang

Publication date: 13 December 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.06.017

zbMATH Keywords

Markov chainstationary distributionFeller propertyHölder continuousCox-Ingersoll-Ross (CIR) model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Continuous-time Markov processes on discrete state spaces (60J27)

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