17 citations · 74 across the 18 of their papers we have counts for
19 papers
Volterra square-root process: Stationarity and regularity of the law
Martin Friesen, Peng Jin
The Volterra square-root process on is an affine Volterra process with continuous sample paths. Under a suitable integrability condition on the resolvent of the se…
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 $\mathbb{R}_{\geq0}^{m}\times\mathbb{…
On the anisotropic stable JCIR process
Martin Friesen, Peng Jin
We investigate the anisotropic stable JCIR process which is a multi-dimensional extension of the stable JCIR process but also a multi-dimensional analogue of the classical JCIR pro…
Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices
Martin Friesen, Peng Jin, Jonas Kremer +1
This article investigates the long-time behavior of conservative affine processes on the cone of symmetric positive semidefinite -matrices. In particular, for conservati…
Exponential ergodicity for stochastic equations of nonnegative processes with jumps
Martin Friesen, Peng Jin, Jonas Kremer +1
In this work, we study ergodicity of continuous time Markov processes on state space obtained as unique strong solutions to stochastic equations…
Boundary behavior of multi-type continuous-state branching processes with immigration
Martin Friesen, Peng Jin, Barbara Rüdiger
In this article we provide a sufficient condition for a continuous-state branching process with immigration (CBI process) to not hit its boundary, i.e. for non-extinction. Our resu…
Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes
Martin Friesen, Peng Jin, Barbara Rüdiger
This work is devoted to the study of conservative affine processes on the canonical state space R_+^m \times \R^nm + n > 0$. We show that each affine process can be…
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}…
Existence of densities for stochastic differential equations driven by Lévy processes with anisotropic jumps
Martin Friesen, Peng Jin, Barbara Rüdiger
We study existence of densities for solutions to stochastic differential equations with Hölder continuous coefficients and driven by a -dimensional Lévy process $Z=(Z_{t})_{t\ge…
Existence of densities for multi-type CBI processes
Martin Friesen, Peng Jin, Barbara Rüdiger
Let X be a multi-type continuous-state branching process with immigration (CBI process) on state space . Denote by , , the law of . We provide s…
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…
Brownian Motion with Singular Time-Dependent Drift
Peng Jin
In this paper we study weak solutions for the following type of stochastic differential equation \[ dX_{t}=dW_{t}+b(t, X_{t})dt, \quad t\ge s, \quad X_{s}=x, \] where $b: [0,\infty…
Heat kernel estimates for non-symmetric stable-like processes
Peng Jin
Let and . Consider the integro-differential operator \[ \mathcal{L}f(x) =\int_{\mathbb{R}^{d}\backslash\{0\}}\left[f(x+h)-f(x)-χ_α(h)\nabla f(x)\cdot h\right]\frac{n…
Moments and ergodicity of the jump-diffusion CIR process
Peng Jin, Jonas Kremer, Barbara Rüdiger
We study the jump-diffusion CIR process, which is an extension of the Cox-Ingersoll-Ross model and whose jumps are introduced by a subordinator. We provide sufficient conditions on…
Well-posedness of the martingale problem for non-local perturbations of Lévy-type generators
Peng Jin
Let be a Lévy-type generator whose Lévy measure is controlled from below by that of a non-degenerate -stable () process. In this paper, we study the martingale proble…
Exponential ergodicity of an affine two-factor model based on the -root process
Peng Jin, Jonas Kremer, Barbara Rüdiger
We study an affine two-factor model introduced by Barczy et al. (2014). One component of this two-dimensional model is the so-called -root process, which generalizes the well kn…
On Weak Solutions of SDEs with Singular Time-Dependent Drift and Driven by Stable Processes
Peng Jin
Let . In this paper, we study weak solutions for the following type of stochastic differential equation \[ dX_{t}=dS_{t}+b(s+t, X_{t})dt, \quad X_{0}=x, \] where $(s,x)\in…
Exponential ergodicity of the jump-diffusion CIR process
Peng Jin, Barbara Rüdiger, Chiraz Trabelsi
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 p…
Positive Harris recurrence and exponential ergodicity of the basic affine jump-diffusion
Peng Jin, Barbara Rüdiger, Chiraz Trabelsi
In this paper we find the transition densities of the basic affine jump-diffusion (BAJD), which is introduced by Duffie and Garleanu [D. Duffie and N. Garleanu, Risk and valuation…