1
$\begingroup$

Suppose that I have an OU process. For instance, assume that I want to model the interest rates. Suppose that regime change is known ex ante, and is deterministic in terms of frequency (For instance, if there are two regimes Good and Bad, I known ex ante that Bad regimes come every month and last a week). What is the mathematical setup of the model, in this case?

Any particular paper addressing this issue is welcomed

$\endgroup$

0