Some explicit expressions for GBM with Markovian switching and parameter estimations

Zhenzhong Zhang, Xiaofeng Wang, Jinying Tong, Tiandao Zhou and Zhenjiang Qin

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 3, 1091-1121

Abstract: In this paper, we focus on the mean exit time and the scale function for the geometric Brownian motion with Markovian switching, in which the drift coefficients and the diffusion coefficients are associated with regime changes. The explicit expressions of mean exit time and scale function are obtained by solving the corresponding Poisson problem. Furthermore, we estimate parameters for the geometric Brownian motion with Markovian switching by composite likelihood and explore some properties of the estimates. Computer simulations are performed to illustrate our proposed algorithm, showing high accuracy of the estimators.

Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2022.2100908 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:53:y:2024:i:3:p:1091-1121

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2022.2100908

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().