Moments and ergodicity of the jump-diffusion CIR process

2017/09/04 by Jin, Peng, Kremer, Jonas, Rüdiger, Barbara
#37A25 (Primary) 60J35 #60J25 #60J75 (Secondary) #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1709.00969

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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