Dynamics of a mean-reverting stochastic volatility equation with regime switching

被引：6
|
作者：
Zhu, Yanling [1 ]
Wang, Kai [1 ,2 ]
Ren, Yong [3 ]
机构：
[1] Anhui Univ Finance & Econ, Dept Appl Math, Bengbu 233030, Peoples R China
[2] Tianjin Univ, Ctr Appl Math, Tianjin 300072, Peoples R China
[3] Anhui Normal Univ, Dept Math, Wuhu 241000, Peoples R China
来源：
COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION | 2020年 / 83卷
关键词：
Mean-reverting stochastic volatility equation; Global positive solution; Asymptotic boundedness in pth moment; Positive recurrence; Stationary distribution;
D O I：
10.1016/j.cnsns.2019.105110
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we consider a mean-reverting stochastic volatility equation with regime switching, and present some sufficient conditions for the existence of global positive solution, asymptotic boundedness in pth moment, positive recurrence and existence of stationary distribution of this equation. Some results obtained in this paper extend the ones in literature. Example is given to verify the results by simulation. (C) 2019 Elsevier B.V. All rights reserved.
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页数：8
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