On the exponential ergodicity of \((2+2)\)-affine processes in total variation distances

DOI10.1007/s10959-022-01173-1OpenAlexW4224221378WikidataQ115603642 ScholiaQ115603642MaRDI QIDQ6046191

Shukai Chen

Publication date: 16 May 2023

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10959-022-01173-1

zbMATH Keywords

ergodicitytotal variation distanceaffine Markov process

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ergodicity, mixing, rates of mixing (37A25)

Cites Work

• Unnamed Item
• Moment formulas for multitype continuous state and continuous time branching process with immigration
• Stochastic equations, flows and measure-valued processes
• On the coupling property and the Liouville theorem for Ornstein-Uhlenbeck processes
• Branching processes with immigration and related topics
• Existence of limiting distribution for affine processes
• Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type
• Almost sure, \(L_1\)- and \(L_2\)-growth behavior of supercritical multi-type continuous state and continuous time branching processes with immigration
• On the infinitesimal generators of Ornstein-Uhlenbeck processes with jumps in Hilbert space
• On a continuous analogue of the stochastic difference equation \(X_ n\) = rho X//(n-1) + \(B_ n\).
• Mixing: Properties and examples
• Affine processes and applications in finance
• On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process
• Extinction properties of multi-type continuous-state branching processes
• Stochastic equations for two-type continuous-state branching processes with immigration
• On the coupling property of Lévy processes
• Continuous time mixed state branching processes and stochastic equations
• Geometric ergodicity of affine processes on cones
• A limit theorem of two-type Galton-Watson branching processes with immigration
• Ergodic behavior of Markov processes. With applications to limit theorems
• Affine diffusions and related processes: simulation, theory and applications
• Stochastic equations for two-type continuous-state branching processes with immigration and competition
• Parameter estimation in two-type continuous-state branching processes with immigration
• Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Ornstein–Uhlenbeck–Cauchy process
• Measure-Valued Branching Markov Processes
• Stationarity and Ergodicity for an Affine Two-Factor Model
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• On the Exponential Ergodicity of Lévy-Driven Ornstein–Uhlenbeck Processes
• Ergodicities and Exponential Ergodicities of Dawson--Watanabe Type Processes
• On the anisotropic stable JCIR process
• Continuous-State Branching Processes with Immigration
• 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
• On Two Dimensional Markov Processes with Branching Property

This page was built for publication: On the exponential ergodicity of \((2+2)\)-affine processes in total variation distances