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math.PR2023
On the ergodicity of a three-factor CIR model
Giacomo Ascione, Michele Bufalo, Giuseppe Orlando
This study introduces the CIR3 model, a three-factor model characterized by stochastic and correlated trends and volatilities. The paper focuses on establishing the Wasserstein erg…
math.PR2023
Regularity and asymptotics of densities of inverse subordinators
Giacomo Ascione, Mladen Savov, Bruno Toaldo
In this article densities (and their derivatives) of subordinators and inverse subordinators are considered. Under minor restrictions, generally milder than the existing in the lit…