Geometric ergodicity of the multivariate COGARCH(1,1) process
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Publication:5086715
Abstract: For the multivariate COGARCH(1,1) volatility process we show sufficient conditions for the existence of a unique stationary distribution, for the geometric ergodicity and for the finiteness of moments of the stationary distribution by a Foster-Lyapunov drift condition approach. The test functions used are naturally related to the geometry of the cone of positive semi-definite matrices and the drift condition is shown to be satisfied if the drift term of the defining stochastic differential equation is sufficiently `negative'. We show easily applicable sufficient conditions for the needed irreducibility and aperiodicity of the volatility process living in the cone of positive semidefinite matrices, if the driving L'evy process is a compound Poisson process.
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