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• W1653840358 abstract "In this paper we study the jump-diffusion CIR process (shorted as JCIR), which is an extension of the classical CIR model. The jumps of the JCIR are introduced with the help of a pure-jump Lévy process $$(J_t, t ge 0)$$ . Under some suitable conditions on the Lévy measure of $$(J_t, t ge 0)$$ , we derive a lower bound for the transition densities of the JCIR process. We also find some sufficient conditions under which the function $$V(x)=x$$ , $$xge 0$$ , is a Forster-Lyapunov function for the JCIR process. This allows us to prove that the JCIR process is exponentially ergodic." @default.
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• W1653840358 date "2015-10-24" @default.
• W1653840358 modified "2023-10-01" @default.
• W1653840358 title "Exponential Ergodicity of the Jump-Diffusion CIR Process" @default.
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• W1653840358 doi "https://doi.org/10.1007/978-3-319-23425-0_11" @default.
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