Long-term behavior of stochastic interest rate models with Markov switching
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Publication:2520458
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
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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