stochastic regime switching model
Analysis of a Stochastic Competitive Model with Regime Switching
... I N the natural world, it is a common phenomenon that sev- eral species compete for the limited resources, territories, etc. At the same time, the growth of species in the natural world is always affected by some random ...
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Asymptotic behavior of a regime switching SIR epidemic model with degenerate diffusion
... Infectious disease population dynamics is often influenced by different types of environ- mental noise, in which white noise is the most typical one. The effects of white noise on epidemic models have already been ...
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Stochastic regime switching SIS epidemic model with vaccination driven by Lévy noise
... The asymptotic behavior of solutions to SDEs is very important. From the view of appli- cations, investigating the stability in distribution is a more interesting question in stochas- tic population systems. Bao et al. ...
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Stochastic population dynamics under regime switching II
... Lotka–Volterra model with Markovian switching between two regimes of ...Lotka–Volterra model in each regime (without switching) develops periodically ([9, 25]), Takeuchi ...result: ...
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Pricing and Hedging in Stochastic Volatility Regime Switching Models
... general regime switching stochastic volatility models where both the asset and the volatility dynamics depend on the values of a Markov jump ...the stochastic volatility and the Markov ...
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Continuous time regime-switching model applied to foreign exchange rate
... Markov-switching model to construct probabilistic indicators and serves as useful tools for providing original qualitative information for economic analysis, especially “ to monitor on a monthly basis ...
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Regime Switching And Levy Jump Dynamics In Option Adjusted Spreads
... of stochastic regime ...this model implies that the underlying asset price can switch between two states, exhibiting continuous changes in each ...
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Sufficient and necessary conditions of stochastic permanence and extinction for stochastic logistic populations under regime switching
... a stochastic logistic population under regime switch- ing controlled by a Markov chain is either stochastically permanent or extinctive, and we obtain the sufficient and necessary conditions for ...
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Persistence in mean and extinction on stochastic competitive Gilpin Ayala systems with regime switching
... in stochastic Gilpin-Ayala systems because of the nonlinear ...of regime-switching mech- anism, which can make the problem ...the stochastic competitive Gilpin-Ayala system with regime ...
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Options Pricing and Hedging in a Regime-Switching Volatility Model
... lar stochastic volatility model is the Generalized Autoregressive Conditional Heteroskedas- ticity (GARCH) ...Markov regime-switching GARCH with two states out- performed GARCH in forecasting ...
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A Levy Regime Switching Temperature Dynamics Model for Weather Derivatives
... continuous stochastic model for ...Hull-White model. The noise process in his model was driven by two Wiener process corresponding to the distribution of the temperature and the distribution ...
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Regime Switching Model on Hourly Electricity Spot Price Dynamics
... to model accurately the spot price of electricity on the electricity ...single regime stochastic models where it is assumed that there is no changes in state of the underlying spot price ...single ...
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A Regime Switching Model for the Term Structure of Credit Risk Spreads
... based regime switching model for the term-structure of credit risk spreads in continuous time ...our model is the inclusion of stochastic transition pro- ...
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Regime-Dependent Effects on Stock Market Return Dynamics: Evidence from SAARC Countries
... this model is statistically significant was undertaken successfully by Hansen (1992, 1993) and Garcia (1998), who conducted extensive evaluations and revealed regime switching in various directions ...
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Stability of a stochastic logistic model under regime switching
... Markovian switching, the solution of system () is still positive recurrent and has a ...Markovian switching, the solution of system () may be positive recurrent and has a UEAID or tends to its trivial ...
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Asymptotic properties of a stochastic Lotka–Volterra model with infinite delay and regime switching
... of model (8) clearly satisfy the local Lipschitz condition, but do not satisfy the linear growth ...of model (8) is a global solution, we only need to prove that the explosion time τ e = ∞ holds almost ...
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Essays on Macroeconometrics
... volatility model is distinct from the regime switching model in two ...the regime switching model, it continuously changes with persistence in the stochastic ...
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A stochastic ratio dependent predator prey model under regime switching
... This article presents an investigation of asymptotic properties of a stochastic ratio- dependent predator-prey model under regime switching. Both the white and color noises are taken into ...
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Are Tunisian and Egyptian Share IPO Markets Hot or Cold?
... market regime evolves when the investors begin experiencing extremely high initial returns and their anticipation about the future interest rate provides an indication about entrepreneur‘s/manager‘s willingness to ...
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Annuity Product Valuation and Risk Measurement under Correlated Financial and Longevity Risks
... the stochastic behaviour of the interest and mortality ...vian regime-switching technique (up to 3 states) so that the capacity is enhanced in reproducing the observed nonlinear dynamic patterns of ...
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