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arXiv · 1607.06254

Exponential ergodicity of an affine two-factor model based on the $α$-root process

Peng Jin·Jonas Kremer·Barbara Rüdiger
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Abstract

We study an affine two-factor model introduced by Barczy et al. (2014). One component of this two-dimensional model is the so-called $α$-root process, which generalizes the well known CIR process. In this paper, we show that this affine two-factor model is exponentially ergodic when $α\in(1,2)$.

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Peng Jin, Jonas Kremer, Barbara Rüdiger. 2016-08-29. Exponential ergodicity of an affine two-factor model based on the $α$-root process. https://arxiv.org/abs/1607.06254

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