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arXiv · 1709.00969

Moments and ergodicity of the jump-diffusion CIR process

Peng Jin·Jonas Kremer·Barbara Rüdiger
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Abstract

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 the Lévy measure of the subordinator under which the jump-diffusion CIR process is ergodic and exponentially ergodic, respectively. Furthermore, we characterize the existence of the $κ$-moment ($κ>0$) of the jump-diffusion CIR process by an integrability condition on the Lévy measure of the subordinator.

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Peng Jin, Jonas Kremer, Barbara Rüdiger. 2018-01-19. Moments and ergodicity of the jump-diffusion CIR process. https://arxiv.org/abs/1709.00969

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