The stochastic stability of interest rates with jump changes (Q2740458)
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scientific article; zbMATH DE number 1646760
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The stochastic stability of interest rates with jump changes |
scientific article; zbMATH DE number 1646760 |
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16 September 2001
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interest rates with jumps
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stochastic stability
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The stochastic stability of interest rates with jump changes (English)
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The authors study the stochastic stability of interest rates with jumps. First of all, they investigate stochastic stability of the classical stochastic models of the interest rates, namely, Vasiček, Cox-Ross-Ingersoll and generalized Cox-Ross-Ingersoll models. Then these models of interest rates are considered with jumps and the stochastic stability is proved for such models of interest rates. Stochastic stability with probability 1, stability in mean, and mean-square stability are investigated for such models of interest rates with jumps. The method of random time change is used.
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