Year: 2025
Type: article
Abstract: The current paper is devoted to the dynamical property of the stochastic Cox–Ingersoll–Ross (CIR) model with pure jump noise, which is an extension of the CIR model. Firstly, we characterize the existence and 2-moment of the CIR process with a pure jump process. Consequently, we provide sufficient conditions for the compensated Poisson random measure under which the CIR process with a pure jump process is ergodic. Moreover, the stationary solution can be constructed from the invariant measure. Some numerical simulations are provided to visualize the theoretical results.
Source: Mathematics
DOI: 10.3390/math13121938
Authors: Xu Liu, Xingfu Hong, Fujing Tian, Chufan Xiao, Hao Wen
Institution: China Aerodynamics Research and Development Center
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
Estimated APC paid: $3,137
OpenAlex ID: W4411217485