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

DOI10.1080/07362994.2015.1105752MaRDI QIDQ2798172zbMATH OpenOpenAlexFDO

Authors Peng Jin, Barbara Rüdiger, Chiraz Trabelsi

Publication date 1 April 2016

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1501.03638

zbMATH Keywords

affine jump-diffusionexponential ergodicityHarris recurrencestochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Abstract: In this paper we find the transition densities of the basic affine jump-diffusion (BAJD), which is introduced by Duffie and Garleanu [D. Duffie and N. Garleanu, Risk and valuation of collateralized debt obligations, Financial Analysts Journal 57(1) (2001), pp. 41--59] as an extension of the CIR model with jumps. We prove the positive Harris recurrence and exponential ergodicity of the BAJD. Furthermore we prove that the unique invariant probability measure $pi$ of the BAJD is absolutely continuous with respect to the Lebesgue measure and we also derive a closed form formula for the density function of $pi$.

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Cited in

(9)

• Analytical representations for the basic affine jump diffusion
• Positive recurrence of a solution of an SDE with variable switching intensities
• Geometric ergodicity of affine processes on cones
• Exponential ergodicity of the jump-diffusion CIR process
• Orthogonal expansions for VIX options under affine jump diffusions
• Exponential ergodicity of an affine two-factor model based on the α-root process
• Coupling methods and exponential ergodicity for two‐factor affine processes
• Regularity of transition densities and ergodicity for affine jump‐diffusions
• Exponential ergodicity for stochastic equations of nonnegative processes with jumps

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