Long-term behavior of stochastic interest rate models with jumps and memory

DOI10.1016/j.insmatheco.2013.05.006zbMath1284.91558arXiv1111.1226OpenAlexW2089590996MaRDI QIDQ2446007

Chenggui Yuan, Jianhai Bao

Publication date: 15 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.1226

zbMATH Keywords

interest rateCox-Ingersoll-Ross modeljumpmemorytwo-factor modellong-term returnone-factor model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (7)

Stochastic nonautonomous Gompertz model with Lévy jumps ⋮ Analysis of a predator-prey model with Lévy jumps ⋮ Heavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching ⋮ Almost sure asymptotic stabilization of differential equations with time-varying delay by Lévy noise ⋮ Long-term behavior of non-ferrous metal price models with jumps ⋮ Long-term behavior of stochastic interest rate models with Markov switching ⋮ Exponential ergodicity of CIR interest rate model with random switching

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