Stationarity and ergodicity for an affine two factor model
AbstractWe 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1302.2534.
Date of creation: Feb 2013
Date of revision: Sep 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-02 (All new papers)
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