A note on ergodicity for CIR model with Markov switching

DOI10.1080/03610918.2019.1584300MaRDI QIDQ5082619zbMATH OpenOpenAlexFDO

Authors Jinying Tong, Qingting Meng, Zhen Zhong Zhang, Yunfang Lu

Publication date 21 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2019.1584300

zbMATH Keywords

Cox-Ingersoll-Ross (CIR) modelMarkov chainstationary distribution

Mathematics Subject Classification ID

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

Recommendations

• Necessary and sufficient conditions for ergodicity of CIR type SDEs with Markov switching
• Exponential ergodicity of CIR interest rate model with random switching
• Necessary and sufficient conditions for ergodicity of CIR model driven by stable processes with Markov switching
• Some characterizations for the CIR model with Markov switching
• Ergodicity of CIR type SDEs driven by stable processes with random switching

Cites work

• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Exponential ergodicity for Markov processes with random switching
• Exponential ergodicity of CIR interest rate model with random switching
• scientific article; zbMATH DE number 2199827 (Why is no real title available?)
• Hybrid switching diffusions. Properties and applications
• Long time behavior of diffusions with Markov switching
• Long-term behavior of stochastic interest rate models with Markov switching
• Necessary and sufficient conditions for ergodicity of CIR model driven by stable processes with Markov switching
• Necessary and sufficient conditions for ergodicity of CIR type SDEs with Markov switching
• Pricing interest-rate-derivative securities
• Ruin probabilities
• Stochastic calculus for finance. I: The binomial asset pricing model.

Cited in

(9)

• Necessary and sufficient conditions for ergodicity of CIR model driven by stable processes with Markov switching
• Some characterizations for Brownian motion with Markov switching
• Exponential ergodicity of CIR interest rate model with random switching
• Moments and ergodicity of the jump-diffusion CIR process
• Some characterizations for the CIR model with Markov switching
• Necessary and sufficient conditions for ergodicity of CIR type SDEs with Markov switching
• First passage time and mean exit time for switching Brownian motion
• Estimation and testing in generalized CIR model
• On stability of the Markov-modulated skew CIR process

This page was built for publication: A note on ergodicity for CIR model with Markov switching

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5082619)