Positive Harris recurrence and exponential ergodicity of the basic affine jump-diffusion
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Publication:2798172
DOI10.1080/07362994.2015.1105752zbMath1335.60146arXiv1501.03638OpenAlexW1833969676MaRDI QIDQ2798172
Chiraz Trabelsi, Peng Jin, Barbara Rüdiger
Publication date: 1 April 2016
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1501.03638
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Related Items (6)
Orthogonal expansions for VIX options under affine jump diffusions ⋮ Geometric ergodicity of affine processes on cones ⋮ Coupling methods and exponential ergodicity for two‐factor affine processes ⋮ Regularity of transition densities and ergodicity for affine jump‐diffusions ⋮ Unnamed Item ⋮ Exponential ergodicity of an affine two-factor model based on the α-root process
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