Recently, the Cox–Ingersoll–Ross (CIR) model with Markov switching has been discussed extensively. However, the covariance function and the kth moment for this model are still open. In this paper, we consider some characterizations for the CIR model with Markov switching. First, the conditional moment generating functions for CIR model with Markov switching are given. Then, explicit expressions for the covariance function and moments of the CIR model with Markov switching are obtained. Finally, several examples have been presented to illustrate our results.

中文翻译：

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马尔可夫切换 CIR 模型的一些特征

最近，已经广泛讨论了具有马尔可夫切换的 Cox-Ingersoll-Ross (CIR) 模型。然而，协方差函数和ķ这个模型的时刻仍然是开放的。在本文中，我们考虑了带有马尔可夫切换的 CIR 模型的一些特征。首先，给出了马尔可夫切换CIR模型的条件矩生成函数。然后，得到了带有马尔可夫切换的CIR模型的协方差函数和矩的显式表达式。最后，提出了几个例子来说明我们的结果。