Moments and ergodicity of the jump-diffusion CIR process

DOI10.1080/17442508.2019.1576686zbMath1495.60070arXiv1709.00969OpenAlexW2962934774WikidataQ128491614 ScholiaQ128491614MaRDI QIDQ5087038

Jonas Kremer, Peng Jin, Barbara Rüdiger

Publication date: 8 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.00969

zbMATH Keywords

ergodicityexponential ergodicityfractional momentCIR (Cox-Ingersoll-Ross) model with jumpsForster-Lyapunov function

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Ergodicity, mixing, rates of mixing (37A25) Transition functions, generators and resolvents (60J35) Jump processes on general state spaces (60J76)

Related Items (6)

Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes ⋮ Geometric ergodicity of affine processes on cones ⋮ Regularity of transition densities and ergodicity for affine jump‐diffusions ⋮ Strong feller and ergodic properties of the (1+1)-affine process ⋮ Unnamed Item ⋮ On the anisotropic stable JCIR process

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