Long-Term Behaviors of Stochastic Interest Rate Models with Jumps and Memory

Details Long-Term Behaviors of Stochastic Interest Rate Models with Jumps and Memory Long-Term Behaviors of Stochastic Interest Rate Models with Jumps and Memory

2011-11-04

arxiv.org/abs/1111.1226v1

Mathematics

Probability

p13

Scientific paper

In this paper we show the convergence of the long-term return
$t^{-\mu}\int_0^tX(s)\d s$ for some $\mu\geq1$, where $X$ is the short-term
interest rate which follows an extension of Cox-Ingersoll-Ross type model with
jumps and memory, and, as an application, we also investigate the corresponding
behavior of two-factor Cox-Ingersoll-Ross model with jumps and memory

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