On the Exponential Ergodicity of (2+2)-Affine Processes in Total Variation Distances

Shukai Chen ()
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Shukai Chen: Fujian Normal University

Journal of Theoretical Probability, 2023, vol. 36, issue 1, 315-330

Abstract: Abstract We prove an estimate for the variations of transition probabilities of the (2+2)-affine process. From this estimate we deduce the exponential ergodic properties in the total variation distance of the process. The key strategy is the approach of a coupling of the affine process and a coupling of two-type CBI-processes established by stochastic equations.

Keywords: Affine Markov process; Ergodicity; Total variation distance; 60H10; 37A25; 60J25 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s10959-022-01173-1

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