Stationarity and ergodicity for an affine two factor model
Abstract
We study the existence of a unique stationary distribution and ergodicity for a 2-dimensional affine process. The first coordinate is supposed to be a so-called alpha-root process with α∈(1,2]. The existence of a unique stationary distribution for the affine process is proved in case of α∈(1,2]; further, in case of α=2, the ergodicity is also shown.
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