On the ergodicity of a three-factor CIR model
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arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2023
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| _version_ | 1866929304393220096 |
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| author | Ascione, Giacomo Bufalo, Michele Orlando, Giuseppe |
| author_facet | Ascione, Giacomo Bufalo, Michele Orlando, Giuseppe |
| contents | This study introduces the CIR3 model, a three-factor model characterized by stochastic and correlated trends and volatilities. The paper focuses on establishing the Wasserstein ergodicity of this model, a task not achievable through conventional means such as the Dobrushin theorem. Instead, alternative mathematical approaches are employed, including considerations of topological aspects of Wasserstein spaces and Kolmogorov equations for measures. Remarkably, the methodology developed here can also be applied to prove the Wasserstein ergodicity of the widely recognized three-factor Chen model. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2307_11443 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | On the ergodicity of a three-factor CIR model Ascione, Giacomo Bufalo, Michele Orlando, Giuseppe Probability 37A50, 60G53, 60J65, 91G30 This study introduces the CIR3 model, a three-factor model characterized by stochastic and correlated trends and volatilities. The paper focuses on establishing the Wasserstein ergodicity of this model, a task not achievable through conventional means such as the Dobrushin theorem. Instead, alternative mathematical approaches are employed, including considerations of topological aspects of Wasserstein spaces and Kolmogorov equations for measures. Remarkably, the methodology developed here can also be applied to prove the Wasserstein ergodicity of the widely recognized three-factor Chen model. |
| title | On the ergodicity of a three-factor CIR model |
| topic | Probability 37A50, 60G53, 60J65, 91G30 |
| url | https://arxiv.org/abs/2307.11443 |