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

DOI10.1017/apr.2017.37zbMath1425.60065arXiv1607.06254OpenAlexW2963058632WikidataQ115563916 ScholiaQ115563916MaRDI QIDQ5233204

Barbara Rüdiger, Peng Jin, Jonas Kremer

Publication date: 16 September 2019

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.06254

zbMATH Keywords

transition densityexponential ergodicityaffine processFoster-Lyapunov function\({\alpha}\)-root process

Mathematics Subject Classification ID

Related Items (11)

Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes ⋮ Moments and ergodicity of the jump-diffusion CIR process ⋮ On the exponential ergodicity of \((2+2)\)-affine processes in total variation distances ⋮ Coupling methods and exponential ergodicity for two‐factor affine processes ⋮ Regularity of transition densities and ergodicity for affine jump‐diffusions ⋮ Strong feller and ergodic properties of the (1+1)-affine process ⋮ Existence of densities for multi-type continuous-state branching processes with immigration ⋮ Exponential ergodicity for a class of Markov processes with interactions ⋮ Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations ⋮ On the anisotropic stable JCIR process ⋮ Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices

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