Exponential ergodicity of an affine two-factor model based on the $\alpha$-root process
Probability
2016-08-30 v2
Abstract
We study an affine two-factor model introduced by Barczy et al. (2014). One component of this two-dimensional model is the so-called -root process, which generalizes the well known CIR process. In this paper, we show that this affine two-factor model is exponentially ergodic when .
Cite
@article{arxiv.1607.06254,
title = {Exponential ergodicity of an affine two-factor model based on the $\alpha$-root process},
author = {Peng Jin and Jonas Kremer and Barbara Rüdiger},
journal= {arXiv preprint arXiv:1607.06254},
year = {2016}
}
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26 pages