带 Hawkes 跳跃的 Hull-White 模型的极限定理
概率论
2022-07-28 v2
摘要
在本文中，我们获得了一类带 Hawkes 跳跃的 Hull-White 模型的极限定理，包括大数定律、中心极限定理和大偏差。在利率建模领域，刻画长期收益率具有重要意义。
引用
@article{arxiv.2207.02622,
title = {Limit theorems for Hull-White model with Hawkes jumps},
author = {Yingli Wang and Ping He},
journal= {arXiv preprint arXiv:2207.02622},
year = {2022}
}
备注
There is a fundamental flaw in this paper. The positivity of the process can't be guaranteed. As a result, the intensity of the jumps may be meaningless