Long time behaviour of stochastic interest rate models

DOI10.1016/j.insmatheco.2009.01.001zbMath1162.91391MaRDI QIDQ1023108

Juan Zhao

Publication date: 10 June 2009

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.01.001

zbMATH Keywords

convergence; interest rate model; long time behaviour; jump; Poisson random measure; affine process; almost surely

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

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