Geometric ergodicity of affine processes on cones
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Publication:2182630
DOI10.1016/j.spa.2019.11.012zbMath1434.60195arXiv1811.10542OpenAlexW2992418904WikidataQ126637203 ScholiaQ126637203MaRDI QIDQ2182630
Eberhard Mayerhofer, Robert Stelzer, Johanna Vestweber
Publication date: 26 May 2020
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1811.10542
geometric ergodicityFeller processWishart processHarris recurrenceaffine processFoster-Lyapunov drift condition
Processes with independent increments; Lévy processes (60G51) Stationary stochastic processes (60G10) Continuous-time Markov processes on general state spaces (60J25) Diffusion processes (60J60) Jump processes on general state spaces (60J76)
Related Items (12)
Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes ⋮ Geometric ergodicity of the multivariate COGARCH(1,1) process ⋮ On the exponential ergodicity of \((2+2)\)-affine processes in total variation distances ⋮ Coupling methods and exponential ergodicity for two‐factor affine processes ⋮ Regularity of transition densities and ergodicity for affine jump‐diffusions ⋮ Strong feller and ergodic properties of the (1+1)-affine process ⋮ Volterra square-root process: stationarity and regularity of the law ⋮ Long-time behavior for subcritical measure-valued branching processes with immigration ⋮ On the anisotropic stable JCIR process ⋮ On the boundary behavior of multi-type continuous-state branching processes with immigration ⋮ Existence of limiting distribution for affine processes ⋮ Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices
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