ABSTRACT
We study the jump-diffusion CIR process, which is an extension of the Cox-Ingersoll-Ross model and whose jumps are introduced by a subordinator. We provide sufficient conditions on the Lévy measure of the subordinator under which the jump-diffusion CIR process is ergodic and exponentially ergodic, respectively. Furthermore, we characterize the existence of the κ-moment () of the jump-diffusion CIR process by an integrability condition on the Lévy measure of the subordinator.
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Acknowledgements
We are very grateful to the anonymous referees, whose valuable comments have led to an improvement of this manuscript.
Disclosure statement
No potential conflict of interest was reported by the authors.