Moments and ergodicity of the jump-diffusion CIR process (Q5087038)
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scientific article; zbMATH DE number 7554649
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| English | Moments and ergodicity of the jump-diffusion CIR process |
scientific article; zbMATH DE number 7554649 |
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Moments and ergodicity of the jump-diffusion CIR process (English)
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8 July 2022
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CIR (Cox-Ingersoll-Ross) model with jumps
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ergodicity
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exponential ergodicity
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Forster-Lyapunov function
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fractional moment
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0.8712075352668762
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0.7665144801139832
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0.7588188648223877
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0.7543023824691772
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0.7511169910430908
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