Exponential Ergodicity of the Jump-Diffusion CIR Process
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Publication:2801798
DOI10.1007/978-3-319-23425-0_11zbMath1336.60157arXiv1503.02849OpenAlexW1653840358MaRDI QIDQ2801798
Peng Jin, Chiraz Trabelsi, Barbara Rüdiger
Publication date: 22 April 2016
Published in: Stochastics of Environmental and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1503.02849
stochastic differential equationsLévy processexponential ergodicityForster-Lyapunov functionsjump-diffusion CIR process
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Related Items (8)
Orthogonal expansions for VIX options under affine jump diffusions ⋮ Moments and ergodicity of the jump-diffusion CIR process ⋮ Regularity of transition densities and ergodicity for affine jump‐diffusions ⋮ Unnamed Item ⋮ Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting ⋮ Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations ⋮ Exponential ergodicity of CIR interest rate model with random switching ⋮ Exponential ergodicity of an affine two-factor model based on the α-root process
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