Limit Theorems for an Extended CIR Process with Time-Dependent Coefficients and Hawkes Jumps

In the present paper, we obtain limit theorems for an extended CIR process with time-dependent coefficients and Hawkes jumps, including law of large numbers, central limit theorem, and large deviations under several assumptions. In the field of interest rate modeling, it is meaningful in characterizing a long-term rate of return

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Year of publication:	2022
Authors:	Wang, Ying-Li ; He, Ping
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Stochastischer Prozess \| Stochastic process

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Extent:	1 Online-Ressource (11 p)
Type of publication:	Book / Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.4246815 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014243919