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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.<\/jats:p>","DOI":"10.1017\/s0266466624000069","type":"journal-article","created":{"date-parts":[[2024,4,2]],"date-time":"2024-04-02T00:32:19Z","timestamp":1712017939000},"page":"844-906","source":"Crossref","is-referenced-by-count":0,"title":["AN ASYMPTOTIC THEORY FOR JUMP DIFFUSION MODELS"],"prefix":"10.1017","volume":"41","author":[{"given":"Minsoo","family":"Jeong","sequence":"first","affiliation":[{"name":"Yonsei University"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Joon Y.","family":"Park","sequence":"additional","affiliation":[{"name":"Indiana University"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2024,4,2]]},"reference":[{"key":"S0266466624000069_r13","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.12.019"},{"key":"S0266466624000069_r12","unstructured":"Jeong, M. , & Park, J. 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