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