On stability of the Markov-modulated skew CIR process

DOI10.1016/j.spl.2015.10.020zbMath1382.60105OpenAlexW2107180086MaRDI QIDQ899651

Yong Jin Wang, Guangli Xu

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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Asymptotic behavior analysis of Markovian switching neutral-type stochastic time-delay systems ⋮ A Markov modulated dynamic contagion process with application to credit risk

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