The tail behavior of jump-diffusion Cox-Ingersoll-Ross processes with regime-switching
type: Item
instance of: scholarly article
title: The tail behavior of jump-diffusion Cox-Ingersoll-Ross processes with regime-switching
zbMATH Open document ID: 1481.60157
author: Huijie Ji
author: Fubao Xi
published in: Statistics \& Probability Letters
publication date: 2022-01-24T00:00:00Z
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 60J76
Mathematics Subject Classification ID: 60H25
Mathematics Subject Classification ID: 60K37
zbMATH DE Number: 7462392
zbMATH Keywords: CIR process
zbMATH Keywords: jump-diffusion
zbMATH Keywords: regime-switching
zbMATH Keywords: heavy-tailed property
MaRDI profile type: Publication
full work available at URL: j.spl.2021.109271
OpenAlex ID: W3204819579
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DOI: 10.1016/J.SPL.2021.109271
description: scientific article; zbMATH DE number 7462392