{
  "id": "1709.00969",
  "version": "v1",
  "published": "2017-09-04T14:07:11.000Z",
  "updated": "2017-09-04T14:07:11.000Z",
  "title": "Moments and ergodicity of the jump-diffusion CIR process",
  "authors": [
    "Peng Jin",
    "Jonas Kremer",
    "Barbara Rüdiger"
  ],
  "comment": "21 pages",
  "categories": [
    "math.PR"
  ],
  "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 L\\'evy measure of the subordinator under which the jump-diffusion CIR process is ergodic and exponentially ergodic, respectively. Furthermore, we characterize the existence of the $\\kappa$-moment ($\\kappa>0$) of the jump-diffusion CIR process by an integrability condition on the L\\'evy measure of the subordinator.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2017-09-04T14:07:11.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60J25",
      "37A25",
      "60J35",
      "60J75"
    ],
    "keywords": [
      "jump-diffusion cir process",
      "ergodicity",
      "levy measure",
      "subordinator",
      "cox-ingersoll-ross model"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 21,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}