1. obtain an analytical representation for the transition density of the JCIR process. From their results it follows that the JCIR process has a positive density;Li;Thus,2015
2. Since JCIR process has a positive transition density, it is then clear that its stationary measure must charge every open neighborhood of x 0 (and, in fact, every set with positive Lebesgue measure). Thus it is easy to see that R(x 0 , O) = ? for all neighborhoods O of x 0 , i.e. x 0 is topologically recurrent. Thus, X is recurrent in the sense of Definition B.3 (R1);Duffie;its transition semigroup maps bounded continuous functions to bounded continuous functions. By Theorem 7.1 of Tweedie,1994
3. A parametric nonlinear model of term structure dynamics;D.-H References;Review of Financial Studies,1999