{
  "id": "1503.02849",
  "version": "v1",
  "published": "2015-03-10T10:24:30.000Z",
  "updated": "2015-03-10T10:24:30.000Z",
  "title": "Exponential ergodicity of the jump-diffusion CIR process",
  "authors": [
    "Peng Jin",
    "Barbara Rüdiger",
    "Chiraz Trabelsi"
  ],
  "comment": "14 pages",
  "categories": [
    "math.PR"
  ],
  "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 L\\'evy process $(J_t, t \\ge 0)$. Under some suitable conditions on the L\\'evy 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 condition guaranteeing the existence of a Forster-Lyapunov function for the JCIR process, which allows us to prove its exponential ergodicity.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2015-03-10T10:24:30.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H10",
      "60J60"
    ],
    "keywords": [
      "jump-diffusion cir process",
      "exponential ergodicity",
      "jcir process",
      "pure-jump levy process",
      "levy measure"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 14,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}