Stationarity and Ergodicity for an Affine Two-Factor Model

@article{Barczy2014StationarityAE,
  title={Stationarity and Ergodicity for an Affine Two-Factor Model},
  author={M{\'a}ty{\'a}s Barczy and Leif D{\"o}ring and Zenghu Li and Gyula Pap},
  journal={Advances in Applied Probability},
  year={2014},
  volume={46},
  pages={878 - 898}
}
We study the existence of a unique stationary distribution and ergodicity for a two-dimensional affine process. Its first coordinate process is supposed to be a so-called α-root process with α ∈ (1, 2]. We prove the existence of a unique stationary distribution for the affine process in the α ∈ (1, 2] case; furthermore, we show ergodicity in the α = 2 case. 
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