Stationarity and ergodicity for an affine two factor model

@article{Barczy2013StationarityAE,
  title={Stationarity and ergodicity for an affine two factor model},
  author={M{\'a}ty{\'a}s Barczy and Leif Doering and Zenghu Li and G. Pap},
  journal={arXiv: Probability},
  year={2013},
  pages={878-898}
}
  • Mátyás Barczy, Leif Doering, +1 author G. Pap
  • Published 2013
  • Mathematics, Economics
  • arXiv: Probability
  • 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. 

    Citations

    Publications citing this paper.
    SHOWING 1-10 OF 22 CITATIONS

    Change detection problems in branching processes

    VIEW 9 EXCERPTS
    CITES METHODS & BACKGROUND
    HIGHLY INFLUENCED

    Affine Jump-Diffusions: Stochastic Stability and Limit Theorems

    VIEW 6 EXCERPTS
    CITES METHODS & BACKGROUND
    HIGHLY INFLUENCED

    Existence of limiting distribution for affine processes

    VIEW 4 EXCERPTS
    CITES BACKGROUND
    HIGHLY INFLUENCED

    On the Use of High Frequency Measures of Volatility in MIDAS Regressions

    VIEW 3 EXCERPTS
    CITES METHODS
    HIGHLY INFLUENCED

    Coupling methods and exponential ergodicity for two-factor affine processes

    VIEW 7 EXCERPTS
    CITES METHODS, BACKGROUND & RESULTS
    HIGHLY INFLUENCED

    References

    Publications referenced by this paper.
    SHOWING 1-10 OF 46 REFERENCES

    Long-time behavior of stable-like processes

    VIEW 3 EXCERPTS
    HIGHLY INFLUENTIAL