Exponential ergodicity of CIR interest rate model with random switching

DOI10.1142/S021949371750037XMaRDI QIDQ4975322zbMATH OpenWikidataFDO

Authors Jinying Tong, Zhen Zhong Zhang

Publication date 4 August 2017

Published in Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S021949371750037X

zbMATH Keywords

central limit theoremCox-Ingersoll-Ross (CIR) modelexponential ergodicityrandom switchingstationary distribution

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of continuous-time Markov processes on discrete state spaces (60J28) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(10)

• Necessary and sufficient conditions for ergodicity of CIR model driven by stable processes with Markov switching
• Heavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching
• Long-term behavior of stochastic interest rate models with Markov switching
• Exponential ergodicity of the jump-diffusion CIR process
• Ergodicity and transience of SDEs driven by -stable processes with Markovian switching
• A note on ergodicity for CIR model with Markov switching
• Ergodicity of CIR type SDEs driven by stable processes with random switching
• Some characterizations for the CIR model with Markov switching
• Necessary and sufficient conditions for ergodicity of CIR type SDEs with Markov switching
• Estimation and testing in generalized CIR model

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