Long-term behavior of stochastic interest rate models with Markov switching

摘要

In this paper, we consider the long time behavior of Cox-Ingersoll-Ross (CIR) interest rate model with Markov switching. Using the ergodic theory of switching diffusions, we show that CIR model with Markov switching has a unique stationary distribution. Furthermore, we prove that the sequence (X) over bar (t) := 1/t integral(t)(0) X(s)ds converges almost surely. As a by-product, we find that the marginal stationary distribution for CIR model with Markov switching can be determined uniquely by its moments. (C) 2016 Elsevier B.V. All rights reserved.