17 citations · 30 across the 9 of their papers we have counts for
11 papers
Regularity of transition densities and ergodicity for affine jump-diffusion processes
Martin Friesen, Peng Jin, Jonas Kremer +1
In this paper we study the transition density and exponential ergodicity in total variation for an affine process on the canonical state space $\mathbb{R}_{\geq0}^{m}\times\mathbb{…
On the anisotropic stable JCIR process
Martin Friesen, Peng Jin
We investigate the anisotropic stable JCIR process which is a multi-dimensional extension of the stable JCIR process but also a multi-dimensional analogue of the classical JCIR pro…
Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices
Martin Friesen, Peng Jin, Jonas Kremer +1
This article investigates the long-time behavior of conservative affine processes on the cone of symmetric positive semidefinite -matrices. In particular, for conservati…
Exponential ergodicity for stochastic equations of nonnegative processes with jumps
Martin Friesen, Peng Jin, Jonas Kremer +1
In this work, we study ergodicity of continuous time Markov processes on state space obtained as unique strong solutions to stochastic equations…
Existence of limiting distribution for affine processes
Peng Jin, Jonas Kremer, Barbara Rüdiger
In this paper, sufficient conditions are given for the existence of limiting distribution of a conservative affine process on the canonical state space $\mathbb{R}_{\geqslant0}^{m}…
Uniqueness in law for stable-like processes of variable order
Peng Jin
Let . Consider a stable-like operator of variable order \begin{align*} \mathcal{A}f(x) & =\int_{\mathbb{R}^{d} \backslash\{0\}} \left[f(x+h) -f(x) -\mathbf{1}_{\{|h|\le1\}}h…