Ergodicity of CIR type SDEs driven by stable processes with random switching. Issue 5 (3rd July 2020)

• Record Type: Journal Article
• Authors: Zhang, Zhenzhong; Cao, Jingwen; Tong, Jinying; Zhu, Enwen
• Is Part Of: Stochastics. Volume 92:Issue 5(2020)
• Page Start: 761
• Page End: 784
• Publication Date: 2020-07-03
• Subjects: Ergodicity -- α-stable processes -- random switching -- stationary distribution -- transience; 60J60 -- 60J27 -- 91G30; Stochastic processes -- Periodicals; Probabilities -- Periodicals; 519.2
• DOI: 10.1080/17442508.2019.1654477
• Languages: English
• ISSNs: 1744-2508

Abstract

Abstract : In this paper, we focus on ergodicity and transience of the Cox–Ingersoll–Ross interest rate model driven by stable processes with random switching. Under some assumptions, we prove that the interest rate process and switching process has a unique stationary distribution. In addition, some sufficient conditions for transience of such interest rate model are given.