Ergodicity of CIR type SDEs driven by stable processes with random switching
From MaRDI portal
(Redirected from Publication:5086515)
Recommendations
- Necessary and sufficient conditions for ergodicity of CIR model driven by stable processes with Markov switching
- Exponential ergodicity of CIR interest rate model with random switching
- Necessary and sufficient conditions for ergodicity of CIR type SDEs with Markov switching
- Exponential ergodicity for SDEs driven by \(\alpha\)-stable processes with Markovian switching in Wasserstein distances
- Long-term behavior of stochastic interest rate models with Markov switching
Cites work
- A theory of the term structure of interest rates
- Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model
- Ergodic properties for \(\alpha\)-CIR models and a class of generalized Fleming-Viot processes
- Ergodicity and transience of SDEs driven by -stable processes with Markovian switching
- Ergodicity for time-changed symmetric stable processes
- Exponential ergodicity for SDEs driven by \(\alpha\)-stable processes with Markovian switching in Wasserstein distances
- Exponential ergodicity of CIR interest rate model with random switching
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 195091 (Why is no real title available?)
- Hybrid switching diffusions. Properties and applications
- Long-term behavior of stochastic interest rate models with Markov switching
- Long-time behavior of stable-like processes
- Lévy Processes and Stochastic Calculus
- On pathwise uniqueness for stochastic differential equations driven by stable Lévy processes
- Potential theory for elliptic systems
- Power-law distributions in empirical data
- Recurrence and ergodicity for A class of regime-switching jump diffusions
- Some remarks and examples concerning the transience and recurrence of random diffusions
- Stochastic calculus for finance. II: Continuous-time models.
- Stochastic equations of non-negative processes with jumps
- Stochastic Processes with Applications
- Transience/recurrence and central limit theorem behavior for diffusions in random temporal environments
Cited in
(12)- 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
- On the stationary property of a reflected Cox-Ingersoll-Ross interest rate model driven by a Lévy process
- Ergodicity and transience of SDEs driven by -stable processes with Markovian switching
- Exponential ergodicity of CIR interest rate model with random switching
- A note on ergodicity for CIR model with Markov switching
- Moments and ergodicity of the jump-diffusion CIR process
- Ergodicity of generalized ait-sahalia-type interest rate model
- Necessary and sufficient conditions for ergodicity of CIR type SDEs with Markov switching
- Estimation and testing in generalized CIR model
- A stable Cox-Ingersoll-Ross model with restart
This page was built for publication: Ergodicity of CIR type SDEs driven by stable processes with random switching
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5086515)
