Exponential ergodicity of the jump-diffusion CIR process

DOI10.1007/978-3-319-23425-0_11zbMATH Open1336.60157arXiv1503.02849OpenAlexW1653840358MaRDI QIDQ2801798FDOQ2801798

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)

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.

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

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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)

Cites Work

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Cited In (12)

• On the anisotropic stable JCIR process
• Positive Harris recurrence and exponential ergodicity of the basic affine jump-diffusion
• Regularity of transition densities and ergodicity for affine jump‐diffusions
• 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
• 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
• Exponential ergodicity of CIR interest rate model with random switching

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