Stationarity and ergodicity for an affine two factor model

Matyas Barczy, Leif Doering, Zenghu Li and Gyula Pap

Papers from arXiv.org

Abstract: We study the existence of a unique stationary distribution and ergodicity for a 2-dimensional affine process. The first coordinate is supposed to be a so-called alpha-root process with \alpha\in(1,2]. The existence of a unique stationary distribution for the affine process is proved in case of \alpha\in(1,2]; further, in case of \alpha=2, the ergodicity is also shown.

Date: 2013-02, Revised 2013-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published in Advances in Applied Probability 46 (3), 2014, 878-898

Downloads: (external link)
http://arxiv.org/pdf/1302.2534 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1302.2534

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().