Ergodic and strong Feller properties of affine processes

2021/04/25 by Shukai Chen, Chen, Shukai, Zenghu Li +1
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Mathematical Biology Tumor Growth #Mathematical Dynamics and Fractals #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2104.12065

openalex publication_date 2021/04/25 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

For general (1+1)-affine Markov processes, we prove the ergodicity and exponential ergodicity in total variation distances. Our methods follow the arguments of ergodic properties for Lévy-driven OU-processes and a coupling of CBI-processes constructed by stochastic equations driven by time-space noises. Then the strong Feller property is considered.

Citations

• Densities for Ornstein-Uhlenbeck processes with jumps

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