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Stationarity and ergodicity for an affine two factor model

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  • Matyas Barczy
  • Leif Doering
  • Zenghu Li
  • Gyula Pap
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    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.

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    File URL: http://arxiv.org/pdf/1302.2534
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1302.2534.

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    Date of creation: Feb 2013
    Date of revision: Sep 2013
    Handle: RePEc:arx:papers:1302.2534

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    Web page: http://arxiv.org/

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    1. Hui Chen & Scott Joslin, 2012. "Generalized Transform Analysis of Affine Processes and Applications in Finance," Review of Financial Studies, Society for Financial Studies, vol. 25(7), pages 2225-2256.
    2. Damir Filipovi\'c & Eberhard Mayerhofer & Paul Schneider, 2011. "Density Approximations for Multivariate Affine Jump-Diffusion Processes," Papers 1104.5326, arXiv.org, revised Oct 2011.
    3. Leif Andersen & Vladimir Piterbarg, 2007. "Moment explosions in stochastic volatility models," Finance and Stochastics, Springer, vol. 11(1), pages 29-50, January.
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    Cited by:
    1. Matyas Barczy & Gyula Pap & Tamas T. Szabo, 2014. "Parameter estimation for subcritical Heston models based on discrete time observations," Papers 1403.0527, arXiv.org.

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