Author:
Barczy Mátyás,Döring Leif,Li Zenghu,Pap Gyula
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.
Publisher
Cambridge University Press (CUP)
Subject
Applied Mathematics,Statistics and Probability
Cited by
15 articles.
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