8 citations · 11 across the 5 of their papers we have counts for
5 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{…
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}…
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…