Markov-modulated Ornstein-Uhlenbeck processes

Gang Huang, Marijn Jansen, Michel Mandjes +2

In this paper we consider an Ornstein-Uhlenbeck (OU) process $(M(t){)}_{t⩾0}$ whose parameters are determined by an external Markov process $(X(t){)}_{t⩾0}$ on a fini…