Exponential ergodicity of the jump-diffusion CIR process

DOI10.1007/978-3-319-23425-0_11MaRDI QIDQ2801798zbMATH OpenOpenAlexFDO

Authors Peng Jin, Barbara Rüdiger, Chiraz Trabelsi

Publication date 22 April 2016

Published in Stochastics of Environmental and Financial Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://arxiv.org/abs/1503.02849

zbMATH Keywords

stochastic differential equationsexponential ergodicityForster-Lyapunov functionsjump-diffusion CIR processLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Abstract: In this paper we study the jump-diffusion CIR process (shorted as JCIR), which is an extension of the classical CIR model. The jumps of the JCIR are introduced with the help of a pure-jump L'evy process $(J_t,tge0)$. Under some suitable conditions on the L'evy measure of $(J_t,tge0)$, we derive a lower bound for the transition densities of the JCIR process. We also find some sufficient condition guaranteeing the existence of a Forster-Lyapunov function for the JCIR process, which allows us to prove its exponential ergodicity.

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Cites work

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Cited in

(12)

• Exponential ergodicity of CIR interest rate model with random switching
• On the anisotropic stable JCIR process
• Positive Harris recurrence and exponential ergodicity of the basic affine jump-diffusion
• Exponential ergodicity of the solutions to SDE's with a jump noise
• Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting
• Regularity of transition densities and ergodicity for affine jump‐diffusions
• Moments and ergodicity of the jump-diffusion CIR process
• Exponential ergodicity for stochastic equations of nonnegative processes with jumps
• Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations
• Exponential ergodicity of an affine two-factor model based on the α-root process
• Ergodic properties for \(\alpha\)-CIR models and a class of generalized Fleming-Viot processes
• Orthogonal expansions for VIX options under affine jump diffusions

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