On stability of the Markov-modulated skew CIR process
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Publication:899651
DOI10.1016/J.SPL.2015.10.020zbMATH Open1382.60105OpenAlexW2107180086MaRDI QIDQ899651FDOQ899651
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
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- Asymptotic stability in distribution of stochastic differential equations with Markovian switching.
- Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve
- Weak existence of the squared Bessel and CIR processes with skew reflection on a deterministic time-dependent curve
- On the stability of jump-diffusions with Markovian switching
- Skew Ornstein-Uhlenbeck processes and their financial applications
- On Markov‐modulated Exponential‐affine Bond Price Formulae
- Markov-modulated jump-diffusions for currency option pricing
- Option Pricing With Markov-Modulated Dynamics
- The Term Structure of Interest Rates in a Hidden Markov Setting
Cited In (3)
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