Existence of limiting distribution for affine processes

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:486

Article

Jin, Peng¹  Kremer, Jonas²  Ruediger, Barbara² 

[1] Shantou Univ, Dept Math, Shantou 515063, Guangdong, Peoples R China

[2] Berg Univ Wuppertal, Fak Math & Nat Wissensch, D-42119 Wuppertal, Germany

关键词: Affine process;    Limiting distribution;    Stationary distribution;    Generalized Riccati equation;   

DOI  :  10.1016/j.jmaa.2020.123912

来源: Elsevier

【 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.

【 授权许可】

Free