Ergodicity and Law-of-large numbers for the Volterra Cox-Ingersoll-Ross process

Abstract

We study the Volterra Volterra Cox-Ingersoll-Ross process on ${\mathbb{R}}_{+}$ and its stationary version. Based on a fine asymptotic analysis of the corresponding Volterra Riccati equation combined with the affine transformation formula, we first show that the finite-dimensional distributions of this process are asymptotically independent. Afterwards, we prove a law-of-large numbers in $L^p$(Ω)$with$p \geq 2$ and show that the stationary process is ergodic. As an application, we prove the consistency of the method of moments and study the maximum-likelihood estimation for continuous and discrete high-frequency observations.

arXiv admin note: substantial text overlap with arXiv:2404.05554