Ergodicity and First Passage Probability of Regime-Switching Geometric Brownian Motions  

作　　者：Jinghai SHAO 

机构地区：[1]Genter for Applied Mathematics, Tianjin University, Tianjin 300072, China.

出　　处：《Chinese Annals of Mathematics,Series B》2018年第4期739-754,共16页数学年刊（B辑英文版）

基　　金：supported by the National Natural Science Foundation of China(Nos.11301030,11431014)

摘　　要：A regime-switching geometric Brownian motion is used to model a geometric Brownian motion with its coefficients changing randomly according to a Markov chain.In this work, the author gives a complete characterization of the recurrent property of this process. The long time behavior of this process such as its p-th moment is also studied. Moreover, the quantitative properties of the regime-switching geometric Brownian motion with two-state switching are investigated to show the difference between geometric Brownian motion with switching and without switching. At last, some estimates of its first passage probability are established.

关 键 词：ERGODICITY Regime-switching diffusions Lyapunov functions First passageprobability 

分 类 号：F224[经济管理—国民经济]