Stationarity and ergodicity for an affine two factor model
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 of creation:||Feb 2013|
|Date of revision:||Sep 2013|
|Publication status:||Published in Advances in Applied Probability 46 (3), 2014, 878-898|
|Contact details of provider:|| Web page: http://arxiv.org/|
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