The RegimeSwitchingProcess command creates a regime-switching process with the specified regimes and transition probability. Each of the regimes must be a one-dimensional stochastic process. The parameter S defines all possible regimes that are one-dimensional stochastic processes. Moves between different regimes are assumed to be governed by the  transition probability matrix, P, with generic element  defined as the probability of moving from regime  to regime .

The parameter n is the number of regimes per year. This process can only be simulated with  time steps per year, where  is a multiple of n. Assume for example that  is a finite state Markov chain with  regimes per year. If we simulate the process  on the interval  with 12 time steps, then the regime change can occur only at steps , , , , and .

The Finance[RegimeSwitchingProcess] command was introduced in Maple 15.

For more information on Maple 15 changes, see Updates in Maple 15.