The stationary distribution of Ornstein–Uhlenbeck process with a two-state Markov switching
Author:
Affiliation:
1. Department of Applied Mathematics, Donghua University, Shanghai, China
2. School of Mathematical Sciences, Peking University, Beijing, China
Publisher
Informa UK Limited
Subject
Modeling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610918.2015.1132321
Reference17 articles.
1. Can Markov switching model generate long memory?
2. Stability of a Random Diffusion with Linear Drift
3. Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
4. Exponential ergodicity for Markov processes with random switching
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