Limit Theorems for a Cox-Ingersoll-Ross Process with Hawkes Jumps
Probability
2014-10-16 v2
Abstract
In this paper, we propose a stochastic process, which is a Cox-Ingersoll-Ross process with Hawkes jumps. It can be seen as a generalization of the classical Cox-Ingersoll-Ross process and the classical Hawkes process with exponential exciting function. Our model is a special case of the affine point processes. Laplace transforms and limit theorems have been obtained, including law of large numbers, central limit theorems and large deviations.
Keywords
Cite
@article{arxiv.1309.5625,
title = {Limit Theorems for a Cox-Ingersoll-Ross Process with Hawkes Jumps},
author = {Lingjiong Zhu},
journal= {arXiv preprint arXiv:1309.5625},
year = {2014}
}
Comments
14 pages