Stationarity and ergodicity for an affine two-factor model

Barczy, Mátyás and Leif, Döring and Zenghu, Li and Pap, Gyula (2014) Stationarity and ergodicity for an affine two-factor model. ADVANCES IN APPLIED PROBABILITY, 46 (3). pp. 878-898. ISSN 0001-8678

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Abstract

We study the existence of a unique stationary distribution and ergodicity for a two-dimensional affine process. Its first coordinate process is supposed to be a so-called α-root process with α ∈ (1, 2]. We prove the existence of a unique stationary distribution for the affine process in the α ∈ (1, 2] case; furthermore, we show ergodicity in the α = 2 case.

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