Abstract
Recently, Zhang et al. show that if then the Cox-Ingersoll-Ross (CIR) model with Markov switching (see below, the SDE (1.2)) is ergodic in the Wasserstein distance if and only if In this article, we will show that if the Cox-Ingersoll-Ross (CIR) model with Markov switching is non-ergodic. Explicit expressions for the mean and variance of the CIR model with Markov switching are obtained. As a byproduct, the explicit expressions for mean of stationary distribution and second-order moments for such model are presented. Besides, we find the necessary and sufficient conditions of weak stationarity for CIR model with Markov switching.
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