Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes (Q2657935): Difference between revisions

By solving a stochastic differential equations driven by Brownian motion and Poisson random measures, affine processes are constructed on \(\mathbb R_+^m\times\mathbb R^n.\) The exponential ergodicity under Wasserstein distances are proved using the first-moment and long-moment conditions for the SDEs with the state-dependent and the state-independent jump measures respectively.

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reviewed by

Feng-Yu Wang

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zbMATH Keywords

affine process

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ergodicity

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Wasserstein distance

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coupling

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stochastic differential equation

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MaRDI profile type

MaRDI publication profile

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cites work

Affine diffusions and related processes: simulation, theory and applications

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Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations

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On parameter estimation for critical affine processes

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Stationarity and Ergodicity for an Affine Two-Factor Model

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Stochastic differential equation with jumps for multi-type continuous state and continuous time branching processes with immigration

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Yamada-Watanabe results for stochastic differential equations with jumps

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Moment formulas for multitype continuous state and continuous time branching process with immigration

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A Lamperti-type representation of continuous-state branching processes with immigration

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Affine processes on \(\mathbb{R}_+^m\times\mathbb{R}^n\) and multiparameter time changes

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Smoothness of continuous state branching with immigration semigroups

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A Theory of the Term Structure of Interest Rates

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Polynomial processes and their applications to mathematical finance

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Skew convolution semigroups and affine Markov processes

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Affine processes and applications in finance

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On the hitting times of continuous-state branching processes with immigration

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Q3721531

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Affine Diffusion Processes: Theory and Applications

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Density approximations for multivariate affine jump-diffusion processes

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The set of real numbers left uncovered by random covering intervals

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Local extinction in continuous-state branching processes with immigration

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On the anisotropic stable JCIR process

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Existence of densities for multi-type continuous-state branching processes with immigration

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Geometric Methods and Applications

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Asymptotic behaviour of continuous time, continuous state-space branching processes

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Q4711019

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Q4778955

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Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions

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Exponential ergodicity of an affine two-factor model based on the α-root process

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Moments and ergodicity of the jump-diffusion CIR process

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Existence of limiting distribution for affine processes

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Stochastic branching processes with continuous state space

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Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\)

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Q5653423

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Exponential moments of affine processes

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On the limit distributions of continuous-state branching processes with immigration

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Affine processes are regular

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Regularity of affine processes on general state spaces

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Yield curve shapes and the asymptotic short rate distribution in affine one-factor models

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The Yamada-Watanabe-Engelbert theorem for general stochastic equations and inequalities

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Equivalence of Stochastic Equations and Martingale Problems

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Almost sure growth of supercritical multi-type continuous state branching process

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Measure-Valued Branching Markov Processes

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Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model

0 references

Stochastic equations for two-type continuous-state branching processes with immigration

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A characterization of the martingale property of exponentially affine processes

0 references

Geometric ergodicity of affine processes on cones

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Markov Chains and Stochastic Stability

0 references

Limit theorems for continuous state branching processes with immigration

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A note on the Birkhoff ergodic theorem

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Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type

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Bessel diffusions as a one-parameter family of diffusion processes

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An equilibrium characterization of the term structure

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Optimal Transport

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On the Exponential Ergodicity of Lévy-Driven Ornstein–Uhlenbeck Processes

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On Two Dimensional Markov Processes with Branching Property

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Identifiers

zbMATH Open document ID

1464.37007

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DOI

10.1214/19-AAP1554

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2657935

@@ Property / cites work @@
+Affine diffusions and related processes: simulation, theory and applications
+Normal rank
@@ Property / cites work @@
+Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations
+Normal rank
@@ Property / cites work @@
+On parameter estimation for critical affine processes
+Normal rank
@@ Property / cites work @@
+Stationarity and Ergodicity for an Affine Two-Factor Model
+Normal rank
@@ Property / cites work @@
+Stochastic differential equation with jumps for multi-type continuous state and continuous time branching processes with immigration
+Normal rank
@@ Property / cites work @@
+Yamada-Watanabe results for stochastic differential equations with jumps
+Normal rank
@@ Property / cites work @@
+Moment formulas for multitype continuous state and continuous time branching process with immigration
+Normal rank
@@ Property / cites work @@
+A Lamperti-type representation of continuous-state branching processes with immigration
+Normal rank
@@ Property / cites work @@
+Affine processes on \(\mathbb{R}_+^m\times\mathbb{R}^n\) and multiparameter time changes
+Normal rank
@@ Property / cites work @@
+Smoothness of continuous state branching with immigration semigroups
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+Polynomial processes and their applications to mathematical finance
+Normal rank
@@ Property / cites work @@
+Skew convolution semigroups and affine Markov processes
+Normal rank
@@ Property / cites work @@
+Affine processes and applications in finance
@@ Property / cites work: Affine processes and applications in finance / rank @@
+Normal rank
@@ Property / cites work @@
+On the hitting times of continuous-state branching processes with immigration
+Normal rank
@@ Property / cites work @@
+Q3721531
@@ Property / cites work: Q3721531 / rank @@
+Normal rank
@@ Property / cites work @@
+Affine Diffusion Processes: Theory and Applications
+Normal rank
@@ Property / cites work @@
+Density approximations for multivariate affine jump-diffusion processes
+Normal rank
@@ Property / cites work @@
+The set of real numbers left uncovered by random covering intervals
+Normal rank
@@ Property / cites work @@
+Local extinction in continuous-state branching processes with immigration
+Normal rank
@@ Property / cites work @@
+On the anisotropic stable JCIR process
@@ Property / cites work: On the anisotropic stable JCIR process / rank @@
+Normal rank
@@ Property / cites work @@
+Existence of densities for multi-type continuous-state branching processes with immigration
+Normal rank
@@ Property / cites work @@
+Geometric Methods and Applications
@@ Property / cites work: Geometric Methods and Applications / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic behaviour of continuous time, continuous state-space branching processes
+Normal rank
@@ Property / cites work @@
+Q4711019
@@ Property / cites work: Q4711019 / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions
+Normal rank
@@ Property / cites work @@
+Exponential ergodicity of an affine two-factor model based on the α-root process
+Normal rank
@@ Property / cites work @@
+Moments and ergodicity of the jump-diffusion CIR process
+Normal rank
@@ Property / cites work @@
+Existence of limiting distribution for affine processes
+Normal rank
@@ Property / cites work @@
+Stochastic branching processes with continuous state space
+Normal rank
@@ Property / cites work @@
+Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\)
+Normal rank
@@ Property / cites work @@
+Q5653423
@@ Property / cites work: Q5653423 / rank @@
+Normal rank
@@ Property / cites work @@
+Exponential moments of affine processes
@@ Property / cites work: Exponential moments of affine processes / rank @@
+Normal rank
@@ Property / cites work @@
+On the limit distributions of continuous-state branching processes with immigration
+Normal rank
@@ Property / cites work @@
+Affine processes are regular
@@ Property / cites work: Affine processes are regular / rank @@
+Normal rank
@@ Property / cites work @@
+Regularity of affine processes on general state spaces
+Normal rank
@@ Property / cites work @@
+Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
+Normal rank
@@ Property / cites work @@
+The Yamada-Watanabe-Engelbert theorem for general stochastic equations and inequalities
+Normal rank
@@ Property / cites work @@
+Equivalence of Stochastic Equations and Martingale Problems
+Normal rank
@@ Property / cites work @@
+Almost sure growth of supercritical multi-type continuous state branching process
+Normal rank
@@ Property / cites work @@
+Measure-Valued Branching Markov Processes
@@ Property / cites work: Measure-Valued Branching Markov Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model
+Normal rank
@@ Property / cites work @@
+Stochastic equations for two-type continuous-state branching processes with immigration
+Normal rank
@@ Property / cites work @@
+A characterization of the martingale property of exponentially affine processes
+Normal rank
@@ Property / cites work @@
+Geometric ergodicity of affine processes on cones
@@ Property / cites work: Geometric ergodicity of affine processes on cones / rank @@
+Normal rank
@@ Property / cites work @@
+Markov Chains and Stochastic Stability
@@ Property / cites work: Markov Chains and Stochastic Stability / rank @@
+Normal rank
@@ Property / cites work @@
+Limit theorems for continuous state branching processes with immigration
+Normal rank
@@ Property / cites work @@
+A note on the Birkhoff ergodic theorem
@@ Property / cites work: A note on the Birkhoff ergodic theorem / rank @@
+Normal rank
@@ Property / cites work @@
+Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type
+Normal rank
@@ Property / cites work @@
+Bessel diffusions as a one-parameter family of diffusion processes
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank
@@ Property / cites work @@
+Optimal Transport
@@ Property / cites work: Optimal Transport / rank @@
+Normal rank
@@ Property / cites work @@
+On the Exponential Ergodicity of Lévy-Driven Ornstein–Uhlenbeck Processes
+Normal rank
@@ Property / cites work @@
+On Two Dimensional Markov Processes with Branching Property
+Normal rank