Regularity of transition densities and ergodicity for affine jump‐diffusions-Reference-Cited by-同舟云学术

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Regularity of transition densities and ergodicity for affine jump‐diffusions

Published:2022-11-29 Issue:3 Volume:296 Page:1117-1134
ISSN:0025-584X
Container-title:Mathematische Nachrichten
language:en
Short-container-title:Mathematische Nachrichten

Author:

Friesen Martin¹,Jin Peng²³^ORCID,Kremer Jonas⁴,Rüdiger Barbara⁴

Affiliation:

1. School of Mathematical Sciences Dublin City University Dublin Ireland

2. Division of Science and Technology BNU‐HKBU United International College Zhuhai China

3. Department of Mathematics Shantou University Shantou Guangdong China

4. School of Mathematics and Natural Sciences University of Wuppertal Wuppertal Germany

Funder

National Natural Science Foundation of China

Publisher

Wiley

Subject

General Mathematics

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/mana.202000299

Reference23 articles.

1. Stationarity and Ergodicity for an Affine Two-Factor Model

2. Option Pricing in a One-Dimensional Affine Term Structure Model via Spectral Representations

3. Affine processes and applications in finance

4. Density approximations for multivariate affine jump-diffusion processes

5. On the anisotropic stable JCIR process

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1. Volterra square-root process: Stationarity and regularity of the law;The Annals of Applied Probability;2024-02-01

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