Exponential ergodicity of CIR interest rate model with random switching

被引：6
|
作者：
Tong, Jinying [1 ]
Zhang, Zhenzhong [1 ]
机构：
[1] Donghua Univ, Dept Appl Math, Shanghai 201620, Peoples R China
来源：
STOCHASTICS AND DYNAMICS | 2017年 / 17卷 / 05期
基金：
中国国家自然科学基金;
关键词：
Cox-Ingersoll-Ross (CIR) model; stationary distribution; exponetial ergodicity; random switching; central limit theorem; TERM STRUCTURE; JUMPS;
D O I：
10.1142/S021949371750037X
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, we consider ergodicity of Cox-Ingersoll-Ross (CIR) interest rate model with random switching. First, we show that the CIR model with switching has a unique stationary distribution. Next, we prove that the transition semigroup for the CIR model with switching converges to the stationary distribution at an exponential rate in the Wasserstein distance. Moreover, under two particular cases, the explicit expressions for stationary distributions are presented. Finally, the central limit theorem for the CIR model with random switching is established.
引用
收藏
页数：20
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