REGIME-SWITCHING

作品数：40被引量：35H指数：4
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相关领域：理学经济管理更多>>
相关作者：刘迪耿国强刘宣会牛华伟高月更多>>
相关机构：浙江财经大学华东师范大学西安工程大学北京大学更多>>
相关期刊：《Statistical Theory and Related Fields》《Journal of Computational Mathematics》《China & World Economy》《Frontiers of Mathematics in China》更多>>
相关基金：国家自然科学基金中国博士后科学基金国家教育部博士点基金河北省自然科学基金更多>>
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Propagation of chaos and conditional McKean-Vlasov SDEs with regime-switching
《Frontiers of Mathematics in China》2022年第4期731-746,共16页Jinghai SHAO Dong WEI 
supported in part by the National Natural Science Foundation of China(Grant Nos.11771327,11831014).
We investigate a particle system with mean field interaction living in a random environment characterized by a regime-switching process.The switching process is allowed to be dependent on the particle system.The well-...
关键词：REGIME-SWITCHING propagation of chaos Wasserstein distance conditional McKean-Vlasov SDEs rate of convergence 
Periodic solutions of hybrid jump diffusion processes
《Frontiers of Mathematics in China》2021年第3期705-725,共21页Xiaoxia GUO Wei SUN 
The authors thank the referees for the careful reading of their paper and all of the insightful suggestions and comments that greatly improved the presentation of the paper.This work was supported by the research fund from Shanxi Province Department of Finance and Education for Ph.D.Graduates to Work in Shanxi(No.2021-18,125/Z24179);and the Natural Sciences and Engineering Research Council of Canada(No.4394-2018).
We investigate periodic solutions of regime-switching jump diffusions.We first show the well-posedness of solutions to stochastic differential equations corresponding to the hybrid system.Then,we derive the strong Fel...
关键词：Hybrid system regime-switching jump diffusion periodic solution strong Feller property IRREDUCIBILITY 
Convergence,boundedness,and ergodicity of regime-switching diusion processes with infinite memory被引量：1
《Frontiers of Mathematics in China》2021年第2期499-523,共25页Jun LI Fubao XI 
This work was supported in part by the National Natural Science Foundation of China(Grant No.12071031).
We study a class of diffusion processes, which are determined by solutions X(t) to stochastic functional differential equation with infinite memory and random switching represented by Markov chain Λ(t): Under suitabl...
关键词：Regime-switching diffusion process infinite memory CONVERGENCE BOUNDEDNESS Feller property invariant measure Wasserstein distance 
A reduced-form model with default intensities containing contagion and regime-switching Vasicek processes
《Frontiers of Mathematics in China》2018年第3期535-554,共20页Jie GUO Guojing WANG 
Acknowledgements The authors cordially thank the anonymous reviewers for valuable comments to improve the earlier version of the paper. This work was supported by the National Natural Science Foundation of China （Grant Nos. 11371274, 11671291）, the Natural Science Foundation of Jiangsu Province （Grant No. BK20160300）, and the Open Project of Jiangsu Key Laboratory of Financial Engineering （Grant No. NSK2015-05）.
The contagion credit risk model is used to describe the contagion effect among different financial institutions. Under such a model, the default intensities are driven not only by the common risk factors, but also by ...
关键词：Contagion credit default swap （CDS） REGIME-SWITCHING default intensity Vasicek model 
Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities
《Frontiers of Mathematics in China》2017年第5期1085-1112,共28页Yinghui DONG Kam Chuen YUEN Guojing WANG 
The authors thank the anonymous referees for valuable comments to improve the earlier version of the paper. The research of Yinghui Dong was supported by the Natural Science Foundation of Jiangsu Province （Grant No. BK20170064） and QingLan project. The research of Kam Chuen Yuen was supported by a grant from the Research Grants Council of the Hong Kong Special Administrative Region, China （Project No. HKU17329216）, and the CAE 2013 research grant from the Society of Actuaries-any opinions, finding, and conclusions or recommendations expressed in this material are those of the authors and do not necessarily reflect the views of the SOA. The research of Guojing Wang was supported by the National Natural Science Foundation of China （Grant No. 11371274）.
We study the counterparty risk for a credit default swap （CDS） in a regime-switching market driven by an underlying continuous-time Markov chain. We model the default dependence via some correlated Cox processes wit...
关键词：Credit default swap （CDS） bilateral credit valuation adjustment Markov chain common shock regime-switching shot noise process 
Valuation of correlation options under a stochastic interest rate model with regime switching被引量：1
《Frontiers of Mathematics in China》2017年第5期1113-1130,共18页Kun FAN Rongming WANG 
This work was supported by the National Natural Science Foundation of China （Grant Nos. 11501211, 11571113, 11231005）, the Program of Shanghai Subject Chief Scientist （14XD1401600）, the 111 Project （B14019）, the Shanghai Pujiang Program （15PJC026）, the Shanghai Philosophy Social Science Planning Office Project （2015EJB002）, the China Postdoctoral Science Foundation （2015M581564）, and the Shanghai Chenguang Plan （15CG22）.
We consider the valuation of a correlation option, a two-factor analog of a European call option, under a Hull-White interest rate model with regime switching. More specifically, the model parameters are modulated by ...
关键词：Correlation option stochastic interest rate regime-switching forward measure fast Fourier transform （FFT） 
A contagion model with Markov regime-switching intensities被引量：1
《Frontiers of Mathematics in China》2014年第1期45-62,共18页Yinghui DONG Guojing WANG 
Acknowledgements The authors thank the anonymous referees for valuable comments to improve the earlier version of the paper. The research of Yinghui Dong was supported by the Natural Science Foundation of Jiangsu Province （Grant No. BK20130260）, the National Natural Science Foundation of China （Grant No. 11301369）, and the China Postdoctoral Science Foundation （Grant No. 2013M540371）. The research of Guojing Wang was supported by the National Natural Science Foundation of China （Grant No. 11371274） and the Natural Science Foundation of Jiangsu Province （Grant No. BK2012613）.
We consider a two-dimensional reduced form contagion model with regime-switching interacting default intensities. The model assumes the intensities of the default times are driven by macro-economy described by a homog...
关键词：Credit default swap （CDS） contagion model REGIME-SWITCHING change of measure 
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