Coupling methods and exponential ergodicity for two-factor affine processes

2020/04/22 by Bao, Jianhai, Wang, Jian
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2004.10384

Abstract

In this paper, by invoking the coupling approach, we establish exponential ergodicity under the L¹ -Wasserstein distance for two-factor affine processes. The method employed herein is universal in a certain sense so that it is applicable to general two-factor affine processes, which allow that the first component solves a general CIR process, and that there are interactions in the second component, as well as that the Brownian noises are correlated; and even to some models beyond two-factor processes.

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