17 citations · 74 across the 18 of their papers we have counts for
5 papers · 1 filter
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…