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.
Year of publication: |
2013-02
|
---|---|
Authors: | Barczy, Matyas ; Doering, Leif ; Li, Zenghu ; Pap, Gyula |
Institutions: | arXiv.org |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Parameter estimation for a subcritical affine two factor model
Barczy, Matyas, (2013)
-
On parameter estimation for critical affine processes
Barczy, Matyas, (2012)
-
Barczy, Matyas, (2013)
- More ...