On the anisotropic stable JCIR process (Q5119398)

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scientific article; zbMATH DE number 7243679

Language	Label	Description	Also known as
English	On the anisotropic stable JCIR process	scientific article; zbMATH DE number 7243679

Statements

scholarly article

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publication date

4 September 2020

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full work available at URL

https://arxiv.org/abs/1908.05473

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http://alea.impa.br/articles/v17/17-25.pdf

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zbMATH Keywords

stable JCIR process

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affine process

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heat kernel

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anisotropic Besov space

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strong Feller property

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exponential ergodicity

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MaRDI profile type

MaRDI publication profile

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arXiv classification

math.PR

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Affine diffusions and related processes: simulation, theory and applications

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Stationarity and Ergodicity for an Affine Two-Factor Model

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Stochastic differential equation with jumps for multi-type continuous state and continuous time branching processes with immigration

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The Malliavin calculus for pure jump processes and applications to local time

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Heat kernel of anisotropic nonlocal operators

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The martingale problem for a class of nonlocal operators of diagonal type

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Option Pricing in a One-Dimensional Affine Term Structure Model via Spectral Representations

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Smoothness of continuous state branching with immigration semigroups

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Anisotropic function spaces and related semi–linear hypoelliptic equations

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Smoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions

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Existence of densities for stable-like driven SDEs with Hölder continuous coefficients

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Existence of densities for the 3D Navier-Stokes equations driven by Gaussian noise

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Affine processes and applications in finance

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On the hitting times of continuous-state branching processes with immigration

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Density approximations for multivariate affine jump-diffusion processes

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Local extinction in continuous-state branching processes with immigration

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Existence of densities for multi-type continuous-state branching processes with immigration

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Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes

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Stochastic equations of non-negative processes with jumps

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Alpha-CIR model with branching processes in sovereign interest rate modeling

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Exponential ergodicity of an affine two-factor model based on the α-root process

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Moments and ergodicity of the jump-diffusion CIR process

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Existence of limiting distribution for affine processes

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On the limit distributions of continuous-state branching processes with immigration

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Parametrix construction of the transition probability density of the solution to an SDE driven by \(\alpha\)-stable noise

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Transition density estimates for diagonal systems of SDEs driven by cylindrical $\alpha$-stable processes

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Ergodic behavior of Markov processes. With applications to limit theorems

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Measure-Valued Branching Markov Processes

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Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model

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Geometric ergodicity of affine processes on cones

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Markov Chains and Stochastic Stability

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Exponential ergodicity for SDEs under the total variation

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On the existence of smooth densities for jump processes

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A simple method for the existence of a density for stochastic evolutions with rough coefficients

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On the Exponential Ergodicity of Lévy-Driven Ornstein–Uhlenbeck Processes

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:5119398

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