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Faculty of Science and Tech...
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8
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JIN Peng
8
WU Jianglun
1
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8
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2023
2
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Affine process
4
exponential ergodicity
4
ergodicity
3
transition density
2
35Q35
1
37A25
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Advances in Applied Probabi...
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Acta Mathematica Sinica, En...
1
Alea (Rio de Janeiro)
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Regularity of transition densities and ergodicity for affine jump-diffusions
Journal article
Mathematische Nachrichten,2023, volume: 296, issue: 3, pages: 1117-1134
Authors:
Friesen, Martin
;
Jin, Peng
;
Kremer, Jonas
;
Rüdiger, Barbara
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View/Download:6/0
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Submit date:2023/04/18
affine processes
exponential ergodicity
strong Feller property
total variation norm
transition density
Ergodicity of 3D Stochastic Burgers Equation
Journal article
Acta Mathematica Sinica, English Series,2023, volume: 498, issue: 2, pages: 498–510
Authors:
Dong, Zhao
;
Wu, Jianglun
;
Zhou, Guoli
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View/Download:9/0
  |  
Submit date:2023/12/20
35Q35
3D stochastic Burgers equations
60H15
ergodicity
maximum principle
Stochastic equation and exponential ergodicity in wasserstein distances for affine processes
Journal article
Annals of Applied Probability,2020, volume: 30, issue: 5, pages: 2165-2195
Authors:
Friesen, Martin
;
Jin, Peng
;
Rudiger, Barbara
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View/Download:6/0
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Submit date:2022/01/20
Affine process
Coupling
Ergodicity
Stochastic differential equation
Wasserstein distance
Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices
Journal article
Advances in Applied Probability,2020, volume: 52, issue: 3, pages: 825-854
Authors:
Friesen, Martin
;
Jin, Peng
;
Kremer, Jonas
;
Rüdiger, Barbara
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View/Download:6/0
  |  
Submit date:2022/01/20
Affine process
ergodicity
invariant distribution
limit distribution
On the anisotropic stable JCIR process
Journal article
Alea (Rio de Janeiro),2020, volume: 17, issue: 2, pages: 643-674
Authors:
Friesen, Martin
;
Jin, Peng
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View/Download:6/0
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Submit date:2022/01/20
Affine Process
Anisotropic Besov Space
Exponential Ergodicity
Heat Kernel
Stable JCIR Process
Strong Feller Property
Moments and ergodicity of the jump-diffusion CIR process
Journal article
Stochastics,2019, volume: 91, issue: 7, pages: 974-997
Authors:
Jin, Peng
;
Kremer, Jonas
;
Rüdiger, Barbara
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View/Download:6/0
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Submit date:2022/01/20
37A25
60J75
CIR model with jumps
ergodicity
exponential ergodicity
Forster-Lyapunov function
fractional moment
Primary 60J25
Secondary 60J35
Exponential ergodicity of an affine two-factor model based on the α-root process
Journal article
Advances in Applied Probability,2017, volume: 49, issue: 4, pages: 1144-1169
Authors:
Jin, Peng
;
Kremer, Jonas
;
Rüdiger, Barbara
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View/Download:3/0
  |  
Submit date:2022/01/20
Affine process
exponential ergodicity
Foster-Lyapunov function
transition density
α-root process
Positive Harris recurrence and exponential ergodicity of the basic affine jump-diffusion
Journal article
Stochastic Analysis and Applications,2016, volume: 34, issue: 1, pages: 75-95
Authors:
Jin, Peng
;
Rüdiger, Barbara
;
Trabelsi, Chiraz
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View/Download:4/0
  |  
Submit date:2022/01/20
Affine process
basic affine jump-diffusion
exponential ergodicity
Harris recurrence
stochastic differential equation
Exponential ergodicity of the jump-diffusion CIR process
Conference paper
Springer Proceedings in Mathematics and Statistics, Oslo, NORWAY, SEP, 2014
Authors:
Jin, Peng
;
Rüdiger, Barbara
;
Trabelsi, Chiraz
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View/Download:5/0
  |  
Submit date:2022/01/20
Cir model with jumps
Exponential ergodicity
Forster-lyapunov functions
Stochastic differential equations