The Well-Posedness and Ergodicity of a CIR Equation Driven by Pure Jump Noise

The Well-Posedness and Ergodicity of a CIR Equation Driven by Pure Jump Noise

The current paper is devoted to the dynamical property of the stochastic Cox–Ingersoll–Ross (CIR) model with pure jump noise, which is an extension of the CIR model. Firstly, we characterize the existence and 2-moment of the CIR process with a pure jump process. Consequently, we provide sufficient c...

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Bibliographic Details
Main Authors: Xu Liu, Xingfu Hong, Fujing Tian, Chufan Xiao, Hao Wen
Format: Article
Language:English
Published: MDPI AG 2025-06-01
Series:Mathematics
Subjects:
CIR model
pure jump process
well-posedness
ergodicity
stationary solution
Online Access:https://www.mdpi.com/2227-7390/13/12/1938
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