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arXiv · 2104.12065

Ergodic and strong Feller properties of affine processes

Shukai Chen·Zenghu Li
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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 L\'{e}vy-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.

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Shukai Chen, Zenghu Li. 2021-04-25. Ergodic and strong Feller properties of affine processes. https://arxiv.org/abs/2104.12065

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