Ergodicity and first passage probability of regime-switching geometric Brownian motions

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, we give 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.

No reviews yet.

No comments yet.