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

13 Dec 2019 Zhu Yanling Wang Kai Ren Yong

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... (read more)

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