most citedMoments and ergodicity of the jump-diffusion CIR process

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math.PR2019

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…

math.PR2017★ 2 cited

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…