Chunhua Ma

TL;DR: In this article, the authors study the estimation of a stable Cox-Ingersoll-Ross model, which is a special subcritical continuous-state branching process with immigration, and prove the exponential ergodicity and strong mixing property of the process by a coupling method.

TL;DR: A market model for power prices is investigated, including most basic features exhibited by previous models and taking into account self-exciting properties, and a Random Field approach is proposed, extending Hawkes-type models by introducing a twofold integral representation property.

TL;DR: In this paper, a two-dimensional joint distribution related to the first passage time below a level for a continuous-state branching process with immigration was studied and a necessary and sufficient criterion for transience or recurrence was obtained.

TL;DR: The α-CIR model as mentioned in this paper is an extension of the standard CIR model by adopting the α-stable Levy process and preserving the branching property, which allows to describe in a unified and parsimonious way several recent observations on the sovereign bond market together with the presence of large jumps at local extent.

TL;DR: In this article, the authors study parameter estimation for discretely observed stochastic differential equations driven by small Levy noises and obtain consistency and rate of convergence of the least squares estimator (LSE) of parameter when e → 0 and n → ∞ simultaneously.