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

Yanling Zhu; Kai Wang; Yong Ren

doi:10.1016/j.cnsns.2019.105110

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arXiv · 1903.02697

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

Yanling Zhu·Kai Wang·Yong Ren

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Abstract

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. Example is given to verify the results by simulation.

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Yanling Zhu, Kai Wang, Yong Ren. 2019-03-07. Dynamics of a mean-reverting stochastic volatility model with regime switching. https://doi.org/10.1016/j.cnsns.2019.105110

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