Existence of limiting distribution for affine processes

DOI10.1016/J.JMAA.2020.123912MaRDI QIDQ777128zbMATH OpenOpenAlexFDO

Authors Peng Jin, Jonas Kremer, Barbara Rüdiger

Publication date 3 July 2020

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1812.05402

zbMATH Keywords

generalized Riccati equationstationary distributionlimiting distributionaffine process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Continuous-time Markov processes on general state spaces (60J25) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Abstract: In this paper, sufficient conditions are given for the existence of limiting distribution of a conservative affine process on the canonical state space $mathbb{R}_{geqslant0}^{m}imesmathbb{R}^n$, where $m,hinspaceninmathbb{Z}_{geqslant0}$ with $m+n>0$. Our main theorem extends and unifies some known results for OU-type processes on $mathbb{R}^n$ and one-dimensional CBI processes (with state space $mathbb{R}_{geqslant0}$). To prove our result, we combine analytical and probabilistic techniques; in particular, the stability theory for ODEs plays an important role.

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Cited in

(18)

• Volterra square-root process: stationarity and regularity of the law
• Ergodicities and Exponential Ergodicities of Dawson--Watanabe Type Processes
• On the anisotropic stable JCIR process
• Regularity of transition densities and ergodicity for affine jump‐diffusions
• On the exponential ergodicity of \((2+2)\)-affine processes in total variation distances
• On the boundary behavior of multi-type continuous-state branching processes with immigration
• Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices
• A non-local Fokker-Planck equation with application to probabilistic evaluation of sediment replenishment projects
• Stochastic streamflow and dissolved silica dynamics with application to the worst-case long-run evaluation of water environment
• Exponential ergodicity for stochastic equations of nonnegative processes with jumps
• Long-time behavior for subcritical measure-valued branching processes with immigration
• Stationary covariance regime for affine stochastic covariance models in Hilbert spaces
• CVaR-based optimization of environmental flow via the Markov lift of a mixed moving average process
• Capital income jumps and wealth distribution
• Strong feller and ergodic properties of the (1+1)-affine process
• Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes
• Continuous time mixed state branching processes and stochastic equations
• Coupling methods and exponential ergodicity for two‐factor affine processes

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