Stationarity and ergodicity for an affine two factor model
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.
- Publication:
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arXiv e-prints
- Pub Date:
- February 2013
- DOI:
- 10.48550/arXiv.1302.2534
- arXiv:
- arXiv:1302.2534
- Bibcode:
- 2013arXiv1302.2534B
- Keywords:
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- Mathematics - Probability;
- Quantitative Finance - Computational Finance;
- 60J25;
- 37A25
- E-Print:
- 28 pages