English, Article edition: Long time behaviour of stochastic interest rate models Zhao, Juan

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Long time behaviour of stochastic interest rate models
Author
  • Zhao, Juan
Physical Description
  • article
Notes
  • In this paper, we study the long time behaviour of two classes of stochastic interest rate models. Suppose that x(t) is a one-factor interest rate model with positive jumps. For a suitable constant we prove that converges almost surely as t-->[infinity]. A similar result is also proved for a two-factor affine model.
  • IM10 Long time behaviour Poisson random measure Jump Affine process Interest rate model Convergence Almost surely
  • RePEc:eee:insuma:v:44:y:2009:i:3:p:459-463
Language
  • English
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