NECESSARY AND SUFFICIENT CONDITIONS FOR ERGODICITY OF CIR MODEL DRIVEN BY STABLE PROCESSES WITH MARKOV SWITCHING

摘要

In this paper, we consider long time behavior of the Cox-IngersollRoss (CIR) interest rate model driven by stable processes with Markov switching. Under some assumptions, we prove an ergodicity-transience dichotomy, namely, the interest rate process is either ergodic or transient. The sufficient and necessary conditions for ergodicity and transience of such interest model are given under some assumptions. Finally, an application to interval estimation of the interest rate processes is presented to illustrate our results.