Exponential ergodicity of an affine two-factor model based on the $\alpha$-root process

Peng Jin; Jonas Kremer; Barbara Rüdiger

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arXiv · 1607.06254

Exponential ergodicity of an affine two-factor model based on the $\alpha$-root process

Peng Jin·Jonas Kremer·Barbara Rüdiger

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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 $\alpha$-root process, which generalizes the well known CIR process. In this paper, we show that this affine two-factor model is exponentially ergodic when $\alpha\in(1,2)$.

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BibTeX RIS

Peng Jin, Jonas Kremer, Barbara Rüdiger. 2016-07-21. Exponential ergodicity of an affine two-factor model based on the $\alpha$-root process. https://arxiv.org/abs/1607.06254

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