Geometric ergodicity of affine processes on cones (Q2182630): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Geometric ergodicity of affine processes on cones	scientific article

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scholarly article

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Geometric ergodicity of affine processes on cones (English)

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Eberhard Mayerhofer

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Johanna Vestweber

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Stochastic Processes and their Applications

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publication date

26 May 2020

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full work available at URL

https://arxiv.org/abs/1811.10542

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zbMATH Keywords

affine process

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geometric ergodicity

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Feller process

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Foster-Lyapunov drift condition

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Harris recurrence

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Wishart process

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MaRDI profile type

MaRDI publication profile

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Affine diffusions and related processes: simulation, theory and applications

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Maximum likelihood estimation for Wishart processes

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Functionals of multidimensional diffusions with applications to finance

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Stationarity and Ergodicity for an Affine Two-Factor Model

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Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

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Pricing of Forwards and Options in a Multivariate Non-Gaussian Stochastic Volatility Model for Energy Markets

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Long-term yield in an affine HJM framework on \(S_{d}^{+}\)

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Stationarity and geometric ergodicity of BEKK multivariate GARCH models

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Optimal portfolios when variances and covariances can jump

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Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations

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Wishart processes

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Pricing range notes within Wishart affine models

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A Theory of the Term Structure of Interest Rates

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Affine processes on positive semidefinite matrices

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Affine processes on symmetric cones

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Polynomial processes and their applications to mathematical finance

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Path Properties and Regularity of Affine Processes on General State Spaces

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Some properties of the Wishart processes and a matrix extension of the Hartman-Watson laws

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Affine processes and applications in finance

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Topological proofs for certain theorems on matrices with non-negative elements

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Time-inhomogeneous affine processes

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Affine Diffusion Processes: Theory and Applications

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Riding on the smiles

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Uniform concentration inequality for ergodic diffusion processes

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Adaptive sequential estimation for ergodic diffusion processes in quadratic metric

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Geometric ergodicity for classes of homogeneous Markov chains

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Efficient pointwise estimation based on discrete data in ergodic nonparametric diffusions

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Stochastic volatility models as hidden Markov models and statistical applications

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MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS

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An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates

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Derivative Pricing With Wishart Multivariate Stochastic Volatility

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The Moments of Wishart Processes via Itô Calculus

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Modeling the Variance Risk Premium of Equity Indices: The Role of Dependence and Contagion

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Large Sample Properties of Generalized Method of Moments Estimators

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Method of moment estimation in the COGARCH(1,1) model

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

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Moments and ergodicity of the jump-diffusion CIR process

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Positive Harris recurrence and exponential ergodicity of the basic affine jump-diffusion

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Exponential moments of affine processes

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Regularity of affine processes on general state spaces

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Probability theory. A comprehensive course

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A note on the measurability of convex sets

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Markov Processes, Gaussian Processes, and Local Times

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On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process

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Affine processes on positive semidefinite \(d \times d\) matrices have jumps of finite variation in dimension \(d > 1\)

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On Wishart and noncentral Wishart distributions on symmetric cones

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A characterization of the martingale property of exponentially affine processes

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On strong solutions for positive definite jump diffusions

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Stability of Markovian processes I: criteria for discrete-time Chains

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Stability of Markovian processes II: continuous-time processes and sampled chains

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Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes

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Markov chains and stochastic stability

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Option Pricing in Multivariate Stochastic Volatility Models of OU Type

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On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes

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Asymptotic normality, strong mixing and spectral density estimates

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

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Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes

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On the absolute continuity of multidimensional Ornstein-Uhlenbeck processes

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Affine Diffusions with Non-Canonical State Space

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Exponential decay and ergodicity of general Markov processes and their discrete skeletons

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Nonlinear differential equations and dynamical systems

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Über die Invarianz konvexer Mengen und Differentialungleichungen in einem normierten Raume

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Identifiers

zbMATH Open document ID

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10.1016/j.spa.2019.11.012

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2182630

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