Limit Theorems for a Cox-Ingersoll-Ross Process with Hawkes Jumps

Abstract: In this paper, we propose a stochastic process, which is a Cox-Ingersoll-Ross process with Hawkes jumps. It can be seen as a generalization of the classical Cox-Ingersoll-Ross process and the classical Hawkes process with exponential exciting function. Our model is a special case of the affine point processes. Laplace transforms and limit theorems have been obtained, including law of large numbers, central limit theorems and large deviations.