Invariant measures for multidimensional fractional stochastic volatility models
Probability
2021-08-30 v2 Mathematical Finance
Abstract
We establish convergence to an invariant measure as time tends to infinity, for a large class of (possibly non-Markovian) stochastic volatility models. Our arguments are based on a novel coupling idea for Markov chains which also extends to Markov chains in random environments in an efficient way.
Cite
@article{arxiv.2002.04832,
title = {Invariant measures for multidimensional fractional stochastic volatility models},
author = {Balázs Gerencsér and Miklós Rásonyi},
journal= {arXiv preprint arXiv:2002.04832},
year = {2021}
}
Comments
Generalized to multiple dimensions