Moments and ergodicity of the jump-diffusion CIR process. Issue 7 (3rd October 2019)

• Record Type: Journal Article
• Authors: Jin, Peng; Kremer, Jonas; Rüdiger, Barbara
• Is Part Of: Stochastics. Volume 91:Issue 7(2019)
• Page Start: 974
• Page End: 997
• Publication Date: 2019-10-03
• Subjects: CIR model with jumps -- ergodicity -- exponential ergodicity -- Forster-Lyapunov function -- fractional moment; Primary 60J25 -- 37A25 -- Secondary 60J35 -- 60J75; Stochastic processes -- Periodicals; Probabilities -- Periodicals; 519.2
• DOI: 10.1080/17442508.2019.1576686
• Languages: English
• ISSNs: 1744-2508

Abstract

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.