Exponential ergodicity of an affine two-factor model based on the α-root process

2016/07/21 by Peng Jin, Jin, Peng, Jonas Kremer +3
Economics, Econometrics and Finance · Mathematics · #37A25 (Primary) #60J25 #60J35 #60J75 (Secondary) #Complex Systems and Time Series Analysis #FOS: Mathematics #Probability (math.PR) #math.PR #msc:37A25 #msc:60J25 #msc:60J35 #msc:60J75

paper · pdf · doi:10.48550/arxiv.1607.06254

26 pages

openalex publication_date 2016/07/21 · arxiv created 2016/08/29 · arxiv updated 2016/08/30 · openalex created_date 2024/04/10 · openalex updated_date 2026/07/28

Abstract

We study an affine two-factor model introduced by Barczy et al. (2014). One component of this two-dimensional model is the so-called α-root process, which generalizes the well known CIR process. In this paper, we show that this affine two-factor model is exponentially ergodic when α∈(1,2).

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