On stability of the Markov-modulated skew CIR process

DOI10.1016/J.SPL.2015.10.020MaRDI QIDQ899651zbMATH OpenOpenAlexFDO

Authors Guangli Xu, Yongjin Wang

Publication date 30 December 2015

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2015.10.020

zbMATH Keywords

stationary distributionMarkov-modulatedskew CIR

Mathematics Subject Classification ID

Diffusion processes (60J60)

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Cites work

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• Asymptotic stability in distribution of stochastic differential equations with Markovian switching.
• Markov-modulated jump-diffusions for currency option pricing
• On Markov‐modulated Exponential‐affine Bond Price Formulae
• On the stability of jump-diffusions with Markovian switching
• Option Pricing With Markov-Modulated Dynamics
• Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve
• Skew Ornstein-Uhlenbeck processes and their financial applications
• Stability of stochastic differential equations with Markovian switching
• The Term Structure of Interest Rates in a Hidden Markov Setting
• Weak existence of the squared Bessel and CIR processes with skew reflection on a deterministic time-dependent curve

Cited in

(3)

• A Markov modulated dynamic contagion process with application to credit risk
• Asymptotic behavior analysis of Markovian switching neutral-type stochastic time-delay systems
• Some characterizations for the CIR model with Markov switching

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