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Stochastic equations of non-negative processes with jumps

Citations

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Cited by:

  1. Ma, Chunhua & Yang, Xu, 2014. "Small noise fluctuations of the CIR model driven by α-stable noises," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 1-11.
  2. Long, Hongwei & Ma, Chunhua & Shimizu, Yasutaka, 2017. "Least squares estimators for stochastic differential equations driven by small Lévy noises," Stochastic Processes and their Applications, Elsevier, vol. 127(5), pages 1475-1495.
  3. Hui He & Zenghu Li & Wei Xu, 2018. "Continuous-State Branching Processes in Lévy Random Environments," Journal of Theoretical Probability, Springer, vol. 31(4), pages 1952-1974, December.
  4. Palau, S. & Pardo, J.C., 2017. "Continuous state branching processes in random environment: The Brownian case," Stochastic Processes and their Applications, Elsevier, vol. 127(3), pages 957-994.
  5. He, Hui & Li, Zenghu & Yang, Xu, 2014. "Stochastic equations of super-Lévy processes with general branching mechanism," Stochastic Processes and their Applications, Elsevier, vol. 124(4), pages 1519-1565.
  6. Li, Zenghu & Xu, Wei, 2018. "Asymptotic results for exponential functionals of Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 128(1), pages 108-131.
  7. Hess, Markus, 2017. "Modeling positive electricity prices with arithmetic jump-diffusions," Energy Economics, Elsevier, vol. 67(C), pages 496-507.
  8. Matyas Barczy & Leif Doering & Zenghu Li & Gyula Pap, 2013. "Stationarity and ergodicity for an affine two factor model," Papers 1302.2534, arXiv.org, revised Sep 2013.
  9. Ying Jiao & Chunhua Ma & Simone Scotti, 2017. "Alpha-CIR model with branching processes in sovereign interest rate modeling," Finance and Stochastics, Springer, vol. 21(3), pages 789-813, July.
  10. Pingping Jiang & Bo Li & Yongjin Wang, 2020. "Exit Times, Undershoots and Overshoots for Reflected CIR Process with Two-Sided Jumps," Methodology and Computing in Applied Probability, Springer, vol. 22(2), pages 693-710, June.
  11. Foucart, Clément & Li, Pei-Sen & Zhou, Xiaowen, 2020. "On the entrance at infinity of Feller processes with no negative jumps," Statistics & Probability Letters, Elsevier, vol. 165(C).
  12. Matyas Barczy & Mohamed Ben Alaya & Ahmed Kebaier & Gyula Pap, 2017. "Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations," Papers 1711.02140, arXiv.org, revised Feb 2019.
  13. Ying Jiao & Chunhua Ma & Simone Scotti, 2017. "Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling," Post-Print hal-01275397, HAL.
  14. Frikha, Noufel & Li, Libo, 2021. "Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs," Stochastic Processes and their Applications, Elsevier, vol. 132(C), pages 76-107.
  15. Giorgia Callegaro & Andrea Mazzoran & Carlo Sgarra, 2019. "A Self-Exciting Modelling Framework for Forward Prices in Power Markets," Papers 1910.13286, arXiv.org.
  16. Aur'elien Alfonsi & Guillaume Szulda, 2024. "On non-negative solutions of stochastic Volterra equations with jumps and non-Lipschitz coefficients," Papers 2402.19203, arXiv.org.
  17. Mátyás Barczy & Zenghu Li & Gyula Pap, 2016. "Moment Formulas for Multitype Continuous State and Continuous Time Branching Process with Immigration," Journal of Theoretical Probability, Springer, vol. 29(3), pages 958-995, September.
  18. Ascione, Giacomo & Mehrdoust, Farshid & Orlando, Giuseppe & Samimi, Oldouz, 2023. "Foreign Exchange Options on Heston-CIR Model Under Lévy Process Framework," Applied Mathematics and Computation, Elsevier, vol. 446(C).
  19. Li, Zenghu & Ma, Chunhua, 2015. "Asymptotic properties of estimators in a stable Cox–Ingersoll–Ross model," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 3196-3233.
  20. Ying Jiao & Chunhua Ma & Simone Scotti & Chao Zhou, 2018. "The Alpha-Heston Stochastic Volatility Model," Papers 1812.01914, arXiv.org.
  21. Matyas Barczy & Mohamed Ben Alaya & Ahmed Kebaier & Gyula Pap, 2016. "Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations," Papers 1609.05865, arXiv.org, revised Aug 2017.
  22. Friesen, Martin & Jin, Peng & Rüdiger, Barbara, 2020. "Existence of densities for multi-type continuous-state branching processes with immigration," Stochastic Processes and their Applications, Elsevier, vol. 130(9), pages 5426-5452.
  23. Berestycki, J. & Döring, L. & Mytnik, L. & Zambotti, L., 2015. "Hitting properties and non-uniqueness for SDEs driven by stable processes," Stochastic Processes and their Applications, Elsevier, vol. 125(3), pages 918-940.
  24. Fang, Rongjuan & Li, Zenghu, 2019. "A conditioned continuous-state branching process with applications," Statistics & Probability Letters, Elsevier, vol. 152(C), pages 43-49.
  25. Li, Pei-Sen, 2019. "A continuous-state polynomial branching process," Stochastic Processes and their Applications, Elsevier, vol. 129(8), pages 2941-2967.
  26. Grosjean, Nicolas & Huillet, Thierry, 2016. "Deterministic versus stochastic aspects of superexponential population growth models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 455(C), pages 27-37.
  27. Xiong, Jie & Yang, Xu, 2019. "Existence and pathwise uniqueness to an SPDE driven by α-stable colored noise," Stochastic Processes and their Applications, Elsevier, vol. 129(8), pages 2681-2722.
  28. Ying Jiao & Chunhua Ma & Simone Scotti, 2016. "Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling," Working Papers hal-01275397, HAL.
  29. Fontana, Claudio & Gnoatto, Alessandro & Szulda, Guillaume, 2023. "CBI-time-changed Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 163(C), pages 323-349.
  30. Ma, Rugang, 2014. "Stochastic equations for two-type continuous-state branching processes with immigration and competition," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 83-89.
  31. Micha{l} Barski & Rafa{l} {L}ochowski, 2024. "Affine term structure models driven by independent L\'evy processes," Papers 2402.07503, arXiv.org.
  32. Yang, Xu, 2017. "Maximum likelihood type estimation for discretely observed CIR model with small α-stable noises," Statistics & Probability Letters, Elsevier, vol. 120(C), pages 18-27.
  33. Li, Libo & Taguchi, Dai, 2019. "On the Euler–Maruyama scheme for spectrally one-sided Lévy driven SDEs with Hölder continuous coefficients," Statistics & Probability Letters, Elsevier, vol. 146(C), pages 15-26.
  34. Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2022. "CBI-time-changed Lévy processes," Working Papers 05/2022, University of Verona, Department of Economics.
  35. Ying Jiao & Chunhua Ma & Simone Scotti, 2016. "Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling," Papers 1602.05541, arXiv.org, revised Feb 2016.
  36. Ma, Rugang, 2015. "Lamperti transformation for continuous-state branching processes with competition and applications," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 11-17.
  37. Xiaochuan Yang, 2018. "Hausdorff Dimension of the Range and the Graph of Stable-Like Processes," Journal of Theoretical Probability, Springer, vol. 31(4), pages 2412-2431, December.
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