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arXiv · 1111.1226

Long-Term Behaviors of Stochastic Interest Rate Models with Jumps and Memory

Jianhai Bao·Chenggui Yuan
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Abstract

In this paper we show the convergence of the long-term return $t^{-\mu}\int_0^tX(s)\d s$ for some $\mu\geq1$, where $X$ is the short-term interest rate which follows an extension of Cox-Ingersoll-Ross type model with jumps and memory, and, as an application, we also investigate the corresponding behavior of two-factor Cox-Ingersoll-Ross model with jumps and memory

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Jianhai Bao, Chenggui Yuan. 2011-11-04. Long-Term Behaviors of Stochastic Interest Rate Models with Jumps and Memory. https://arxiv.org/abs/1111.1226

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