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1 results

  • Stationarity and Ergodicity for an Affine Two-Factor Model

  • Part of
  • Mátyás Barczy, Leif Döring, Zenghu Li, Gyula Pap
  • Journal:
    Advances in Applied Probability / Volume 46 / Issue 3 / September 2014
    Published online by Cambridge University Press:
    22 February 2016, pp. 878-898
    Print publication:
    September 2014
    • Article
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  • 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.