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arXiv · 1309.5625

Limit Theorems for a Cox-Ingersoll-Ross Process with Hawkes Jumps

Lingjiong Zhu
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Abstract

In this paper, we propose a stochastic process, which is a Cox-Ingersoll-Ross process with Hawkes jumps. It can be seen as a generalization of the classical Cox-Ingersoll-Ross process and the classical Hawkes process with exponential exciting function. Our model is a special case of the affine point processes. Laplace transforms and limit theorems have been obtained, including law of large numbers, central limit theorems and large deviations.

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Lingjiong Zhu. 2014-10-14. Limit Theorems for a Cox-Ingersoll-Ross Process with Hawkes Jumps. https://arxiv.org/abs/1309.5625

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