Limit Theorems for a Cox-Ingersoll-Ross Process with Hawkes Jumps
2014 ◽
Vol 51
(3)
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pp. 699-712
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Keyword(s):
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. We obtain Laplace transforms and limit theorems, including the law of large numbers, central limit theorems, and large deviations.
2014 ◽
Vol 51
(03)
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pp. 699-712
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Keyword(s):
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2018 ◽
Vol 61
(2)
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pp. 363-369
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Keyword(s):
2021 ◽
Keyword(s):
2015 ◽
Vol 52
(01)
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pp. 37-54
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Keyword(s):
2015 ◽
Vol 52
(1)
◽
pp. 37-54
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2016 ◽
Vol 53
(1)
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pp. 307-314
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Keyword(s):
2015 ◽
Vol 33
(2)
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pp. 213-243
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