Geodesic
Long-term returns in stochastic
Teoriâ slučajnyh processov, Tome 13 (2007) no. 4, pp. 247-261

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We consider the behavior of integral functional of the solution of stochastic differential equation with coefficients contained small parameter. The dependence on the order of small parameter in every term of equation with Wiener process and Poisson measure term is studied. We observe the convergence of the long-term return, using an extension of the Cox-Ingersoll-Ross stochastic model of the short interest rate. Obtained results are applied for studying of two-factor stochastic interest rate model.
Keywords: Stochastic differential equation, integral functional, long-term return, limit behavior, small parameter. 
@article{THSP_2007_13_4_a18,
     author = {Vladimir Zubchenko},
     title = {Long-term returns in stochastic},
     journal = {Teori\^a slu\v{c}ajnyh processov},
     pages = {247--261},
     publisher = {mathdoc},
     volume = {13},
     number = {4},
     year = {2007},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/THSP_2007_13_4_a18/}
}
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Vladimir Zubchenko. Long-term returns in stochastic. Teoriâ slučajnyh processov, Tome 13 (2007) no. 4, pp. 247-261. http://geodesic.mathdoc.fr/item/THSP_2007_13_4_a18/