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

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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