Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes
From MaRDI portal
Publication:2657935
DOI10.1214/19-AAP1554zbMath1464.37007arXiv1901.05815OpenAlexW3086779640WikidataQ115517756 ScholiaQ115517756MaRDI QIDQ2657935
Martin Friesen, Barbara Rüdiger, Peng Jin
Publication date: 18 March 2021
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1901.05815
Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Ergodicity, mixing, rates of mixing (37A25) Dynamical systems and their relations with probability theory and stochastic processes (37A50) Generation, random and stochastic difference and differential equations (37H10)
Related Items
Cutoff thermalization for Ornstein-Uhlenbeck systems with small Lévy noise in the Wasserstein distance ⋮ 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 ⋮ Existence of densities for multi-type continuous-state branching processes with immigration ⋮ Exponential ergodicity for a class of Markov processes with interactions ⋮ Long-time behavior for subcritical measure-valued branching processes with immigration ⋮ Unnamed Item ⋮ On the anisotropic stable JCIR process ⋮ On a class of stochastic partial differential equations with multiple invariant measures ⋮ On the boundary behavior of multi-type continuous-state branching processes with immigration ⋮ Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices ⋮ Ergodicities and Exponential Ergodicities of Dawson--Watanabe Type Processes
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Yamada-Watanabe results for stochastic differential equations with jumps
- Moment formulas for multitype continuous state and continuous time branching process with immigration
- A Lamperti-type representation of continuous-state branching processes with immigration
- Regularity of affine processes on general state spaces
- Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\)
- On the limit distributions of continuous-state branching processes with immigration
- Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions
- Local extinction in continuous-state branching processes with immigration
- A characterization of the martingale property of exponentially affine processes
- Affine processes are regular
- Polynomial processes and their applications to mathematical finance
- On the hitting times of continuous-state branching processes with immigration
- Existence of limiting distribution for affine processes
- Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type
- Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
- Affine processes and applications in finance
- Smoothness of continuous state branching with immigration semigroups
- Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations
- Stochastic equations for two-type continuous-state branching processes with immigration
- On parameter estimation for critical affine processes
- Geometric ergodicity of affine processes on cones
- Existence of densities for multi-type continuous-state branching processes with immigration
- Exponential moments of affine processes
- Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model
- Affine processes on \(\mathbb{R}_+^m\times\mathbb{R}^n\) and multiparameter time changes
- A note on the Birkhoff ergodic theorem
- Density approximations for multivariate affine jump-diffusion processes
- Affine diffusions and related processes: simulation, theory and applications
- The Yamada-Watanabe-Engelbert theorem for general stochastic equations and inequalities
- Skew convolution semigroups and affine Markov processes
- A Theory of the Term Structure of Interest Rates
- Geometric Methods and Applications
- Equivalence of Stochastic Equations and Martingale Problems
- Measure-Valued Branching Markov Processes
- Stationarity and Ergodicity for an Affine Two-Factor Model
- Markov Chains and Stochastic Stability
- Affine Diffusion Processes: Theory and Applications
- The set of real numbers left uncovered by random covering intervals
- Asymptotic behaviour of continuous time, continuous state-space branching processes
- Bessel diffusions as a one-parameter family of diffusion processes
- Almost sure growth of supercritical multi-type continuous state branching process
- On the Exponential Ergodicity of Lévy-Driven Ornstein–Uhlenbeck Processes
- Moments and ergodicity of the jump-diffusion CIR process
- On the anisotropic stable JCIR process
- Exponential ergodicity of an affine two-factor model based on the α-root process
- Stochastic differential equation with jumps for multi-type continuous state and continuous time branching processes with immigration
- An equilibrium characterization of the term structure
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Stochastic branching processes with continuous state space
- On Two Dimensional Markov Processes with Branching Property
- Limit theorems for continuous state branching processes with immigration
- Optimal Transport
This page was built for publication: Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes
