On the ergodicity of a three-factor CIR model

MaRDI QIDQ6512098arXivFDO

Authors Giacomo Ascione, Michele Bufalo, Giuseppe Orlando

Published in arXiv

Mathematics Subject Classification ID

Dynamical systems and their relations with probability theory and stochastic processes (37A50) Feller processes (60G53) Brownian motion (60J65) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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