Existence of limiting distribution for affine processes

被引：18
|
作者：
Jin, Peng [1 ]
Kremer, Jonas [2 ]
Ruediger, Barbara [2 ]
机构：
[1] Shantou Univ, Dept Math, Shantou 515063, Guangdong, Peoples R China
[2] Berg Univ Wuppertal, Fak Math & Nat Wissensch, D-42119 Wuppertal, Germany
来源：
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2020年 / 486卷 / 02期
关键词：
Affine process; Limiting distribution; Stationary distribution; Generalized Riccati equation; STATE BRANCHING-PROCESSES; STOCHASTIC VOLATILITY; MOMENT EXPLOSIONS; TERM STRUCTURE;
D O I：
10.1016/j.jmaa.2020.123912
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, sufficient conditions are given for the existence of limiting distribution of a conservative affine process on the canonical state space R (m)(>= 0) x R-n, where m, n is an element of Z(>= 0) with m + n > 0. Our main theorem extends and unifies some known results for OU-type processes on R-n and one-dimensional CBI processes (with state space R (>= 0)). To prove our result, we combine analytical and probabilistic techniques; in particular, the stability theory for ODEs plays an important role. (C) 2020 Elsevier Inc. All rights reserved.
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页数：31
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