AN ASYMPTOTIC THEORY FOR JUMP DIFFUSION MODELS

Minsoo Jeong and Joon Y. Park

Econometric Theory, 2025, vol. 41, issue 4, 844-906

Abstract: This paper presents an asymptotic theory for recurrent jump diffusion models with well-defined scale functions. The class of such models is broad, including general nonstationary as well as stationary jump diffusions with state-dependent jump sizes and intensities. The asymptotics for recurrent jump diffusion models with scale functions are largely comparable to the asymptotics for the corresponding diffusion models without jumps. For stationary jump diffusions, our asymptotics yield the usual law of large numbers and the standard central limit theory with normal limit distributions. The asymptotics for nonstationary jump diffusions, on the other hand, are nonstandard and the limit distributions are given as generalized diffusion processes.

Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:41:y:2025:i:4:p:844-906_4

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().