Stationarity and ergodicity for an affine two factor model
Probability
2016-07-25 v4 Computational Finance
Abstract
We study the existence of a unique stationary distribution and ergodicity for a 2-dimensional affine process. The first coordinate is supposed to be a so-called alpha-root process with \alpha\in(1,2]. The existence of a unique stationary distribution for the affine process is proved in case of \alpha\in(1,2]; further, in case of \alpha=2, the ergodicity is also shown.
Keywords
Cite
@article{arxiv.1302.2534,
title = {Stationarity and ergodicity for an affine two factor model},
author = {Matyas Barczy and Leif Doering and Zenghu Li and Gyula Pap},
journal= {arXiv preprint arXiv:1302.2534},
year = {2016}
}
Comments
28 pages; the title has been changed; a mistake in the proof of Theorem 4.1 has been corrected